White papers and research exploring quantitative investment management and quant strategies. Quantitative investing research in this section includes academic papers on portfolio optimisation, articles on quant equity strategies for model-driven alpha creation, managing index funds, papers on derivatives pricing, articles on performance attribution analysis and other forms of qiantiative investment analysis. Quantitiative investing styles continue to gain ground as computing power increases and big data and AI approaches become more viable. The "tools" component of this section refers to investment tools which help portfolio managers to do their job. For instance, ETFs may be considered a "tool" to make... a short term allocation to specific asset class or strategy. Investment technology is a "tool" used throughout the investment process. This heading includes research on alpha creation, including: quantitative approaches to asset allocation and investment technology, Big Data, and the role of technology within asset management. For lists of white papers on specific quant topics - such as index investing, derivatives pricing, attribution analysis or trading models for alpha generation - please use the search menu at the top or click on the appropriate selection in the topic menu.
A robust and active trading ecosystem benefits asset owners and investment managers by fostering transparency, market efficiency, and investor confidence. This paper documents, for the first time, the extent and nature of that ecosystem for indices produced by S&P Dow Jones Indices (S&P DJI). The results offer a…
Trustees, plan sponsors and other responsible parties associated with oversight for retirement savings plans seeking to understand how innovation-and specifically artificial intelligence (AI) - can be used to improve plan design, increase participant engagement and enhance retirement outcomes. This Invesco paper aims to: (i…
If indices can represent passively implemented returns in a given universe, then the risk/return profiles among various indices in the same universe should be similar. In large-cap U.S. equities, the S&P 500® and Russell 1000 have had similar risk/return profiles (9.65% versus 9.73% per year, respectively, since Dec. 31…
This is the second year that DWS has sponsored this report by CREATE-Research. Amongst other insights, this year’s survey confirms the on-going movement of passive investment into the mainstream with 66% of survey respondents considering passive index investing as a mature part of their portfolio.
In our last report, we showed that in 2017, insurance companies increased their use of exchange-traded funds (ETFs) by a significant amount (37% year-over-year). In 2018, insurance companies continued to increase their use of ETFs and, in spite of a market correction in the Q4 2018, held ETF assets in line with long-term…
Is the combination of real assets in investors’ portfolios meeting their investment objectives? Investors may arbitrarily group real assets into a single category when constructing their portfolios. However, real assets exhibit diverse features and macroeconomic sensitivities that should be carefully assessed during the…
As a part of its 9th annual US ETF Study, Greenwich Associates interviewed 181 institutional investors on the utility of ETFs for portfolio construction purposes, finding that ETFs are now considered as a primary means of obtaining fixed income exposures within institutional portfolios. Liquidity, ease of use, speed of…
Several major equity benchmark providers maintain rules-based defensive equity portfolios they call indexes – but they shouldn’t be confused with their cap-weighted counterparts. We take a closer look at what options exist and how they differ, their viability as passive investments and how they might be improved, and how to…
Several major equity benchmark providers maintain rules-based defensive equity portfolios they call indexes – but they shouldn’t be confused with their cap-weighted counterparts. We take a closer look at what options exist and how they differ, their viability as passive investments and how they might be improved, and how to…
Among other things, this 32-page issue of Risk & Reward examines how to take a factor-based approach to diversifying oil exposure. Oil investors, fixed income investors and sovereign wealth funds are the main focus of this issue.
Using four decades of data, this 30-page paper by FTSE Russell examines how U.S. equity markets have reflected the overall growth in the U.S. economy, particularly the shift from large industry to a sharp focus on technology and services. The Russell U.S. Index family holds 40 years of performance, characteristics, and…
Factor investing has never been as popular as it is today. However, with the propagation of this type of investment approach, the equity space is becoming increasingly saturated with more and more factors that are ever more removed from academically-grounded research. This paper discusses factor definitions used in…
Insurers, pension funds, banks and other institutional investors around the world have embraced alternative asset classes to help close the gap on returns. However, despite their allure, asset management operations are finding it harder to support alternatives cost effectively. If managing non-traditional asset classes are…
What, Exactly, Is a Factor? According to BlackRock, as of June 2018 there was $1.9 trillion invested in factor-based strategies—a figure expected to grow by nearly 80% to $3.4 trillion by 2022. There is no question that these strategies have moved to the forefront of investing, but their growing popularity begs the basic…
Traditional portfolio optimization processes have several well-known shortcomings. Consequently, investors often significantly constrain the optimization, resulting in little new information. One solution to overcome these limitations is a Step Optimization routine. In this paper, we will discuss how visualizing changes to…
Illiquid asset classes have become a significant driver of institutional investment portfolio return and risk. However, the dynamics of how these asset classes behave within multi-asset portfolios are not fully captured by traditional portfolio modelling processes. This paper explores how multi-asset investors can…
Cheap stocks have been underperforming for the last 18 months, while expensive stocks are overperforming. In fact, current value performance parallels the Tech Bubble and Global Financial Crisis (GFC). This comes as a surprise to many. We have been living through an extraordinary return environment that has, largely, fallen…
This study provides an important extension of existing research on the performance of options-based strategies by considering the impact of the inclusion of option-based equity strategies in diversified institutional portfolios. Specifically, the analysis assesses the historical impact of the application of rules-based…
Low-carbon and factor-based investing are two key trends in the global investment management industry. This paper investigates the impact of low-carbon screening on traditional market-cap-weighted portfolios and factor portfolios (quality, value, momentum, and low volatility) across seven Asian markets: Australia, China,…
This study explores which asset classes add value to a traditional portfolio of stocks, bonds and cash. Next, we determine the optimal weights of all asset classes in the optimal portfolio. This study adds to the literature by distinguishing ten different investment categories simultaneously in a mean-variance analysis as…
