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.
2020 was the year of the pandemic, instant recession, and US election drama, while UBS AM think 2021 is poised to be the year of vaccines and a more durable, comprehensive economic reopening. Dive inside their Panorama report to see what their attention is focused on for 2021.
Balancing protection and upside potential is a difficult exercise, but WisdomTree hope investors will find some ideas and some inspiration on how to tackle it in this paper, whether it is through a dynamic asset allocation that rebalances between cyclical and defensive assets or through the selection of asymmetric defensive…
PGIM’s IAS team has joined with GIC EIS to integrate liquidity measurement and cash flow management into a multi-asset, multi-period portfolio construction process. In today's climate, investors are increasingly faced with the difficult choice between potentially higher returns and greater liquidity. Given market uncertainty…
Growth opportunities are plentiful in emerging markets thanks to strong secular tailwinds — but they are company-specific. Identifying strong growers within a changing opportunity set is key to unlocking the potential of this asset class, suggests Jennison Associates.
The world is at risk. Our planet is facing numerous exponential threats. Tackling global warming, environmental degradation, and the negative externalities associated with them is only the tip of the iceberg. There is a clear need to shift companies and global economies to more sustainable models, whilst…
In a world of low return expectations and even lower interest rates, pension plans are re-evaluating their portfolios, looking for alternative ways to achieve return targets and improve funded status. Diversifying portfolios with real assets helps address these challenges. Real assets may reduce portfolio volatility, enhance…
Factor investing is a simple concept. Put simply, factor exposures drive the performance of diversified portfolios. With a construction technique that furnishes the ability to achieve precise and controlled factor exposures, it is possible to readily construct factor strategies — and their opposites — in a transparent manner…
Climate change has become undeniable, and no industry has greater exposure to its risks than the insurance sector. It poses a unique threat to both sides of their balance sheets – to insurers’ assets as well as their liabilities.
In their first report in 2015, S&P DJI used historical trends to project that insurance companies would double their use of exchange-traded funds (ETFs) in five years. Now five years later, usage of ETFs in insurance general accounts has indeed doubled since 2015. In the one-year period ending Dec. 31, 2019, insurance…
Based on QMA’s 2020 2Q Capital Market Assumptions, expected returns on traditional public market investments are likely to be considerably lower over the next 10 years than in the last decade, significantly undershooting the return requirements of asset owners who need to meet liabilities. This has not been altered by the…
Pension regulations in the Nordic countries and the Netherlands are similar to insurance regulation in the European Union. Solvency capital (SC) required for credit risk in corporate bond portfolios is close to its economic risk, while solvency capital for equity risk does not distinguish at all between low-risk and high-…
In this report, CFA Institute seek to identify high-impact applications of artificial intelligence (AI) and big data in investments and best practice in their implementation by examining specific use cases. For this purpose, CFA Institute conducted interviews with investment industry practitioners around the world and from…
UNCOVER THE FIVE KEY ELEMENTS TO CONSIDER WHEN CONSTRUCTING AN EFFICIENT DATA GOVERNANCE AND DISTRIBUTION PROCESS.
While governance and distribution can be nebulous concepts, they remain the building blocks of successful investment processes across firms, locations, and mandates globally. Understanding the firm’s…
Target Date Funds and other lifecycle investment products (hereafter “TDFs”) help to simplify the retirement saving landscape for individual investors. Questions such as how to allocate between asset classes, managers or even individual securities have been replaced with just one question: when will I reach retirement age?…
In the face of market volatility, lower-for-longer interest rates, and return expectations for equities and bonds that are well below historic averages, institutional investors are considering real assets to help meet investment objectives.Portfolio optimization using 28 years of returns demonstrated private real assets’…
This collection of papers focuses on the vital role of digital in today’s businesses. Many organizations were already in the throes of digital transformations pre-pandemic, before COVID-19 accelerated the pace of business across the globe. Some sped up efforts already under way; others implemented digital capabilities for…
The coronavirus pandemic has highlighted the difficulties of managing risk in an increasingly globalised and interconnected world. We explore how organisations can stay resilient through an era of radical change.
The Total Portfolio Approach (TPA), implemented by a growing crop of leading asset owners globally, offers an increasingly viable option to address the unpredictability of markets—including the governance, benchmark and inertia drags inherent in more traditional Strategic Asset Allocation (SAA)-based methodologies, revealed…
