Reports and investment research on ETFs and other fund vehicles, including mutual funds, UCITs and white papers on liquid alternatives. Research on liquid alts has received a lot of attention, as institutional investors and FOHFs show increasing interest in the many different types of liquid alternative mutual funds. For hedge funds, alternative UCITs provide another opportunity to expand... their investor universe. Research on future trends in UCITs has been popular, as have papers on the use of sub-advisers for liquid alternatives. The most popular ETF research includes papers on smart beta ETFs, best practices for ETF trading, Asian ETFs and bond ETFs. Different ETF articles will appeal to different members. For asset allocators seeking to make short-term allocations to an asset class, research providing a cost comparison of futures and ETFs has received many downloads. For DC Plan Sponsors, the question "should ETFs be an investment option in DC plans?" has generated a lot of interest, whereas for Canadian plan sponsors a paper questioning the use of mutual funds in Canadian pensions has proved popular.
This global, quarterly report leverages analysis from State Street Global Markets showing bond flows and holdings indicators from Q4 2018, taken from a data set that represents $10 trillion of assets. This data shows that institutional investors, far from rushing to safety in the midst of the turbulent end to 2018, are…
This global, quarterly report leverages analysis from State Street Global Markets showing bond flows and holdings indicators from Q4 2018, taken from a data set that represents $10 trillion of assets. This data shows that institutional investors, far from rushing to safety in the midst of the turbulent end to 2018, are…
Quantitative investment managers experienced significant and wide-ranging underperformance in 2018. The performance of Alternative Risk Premia (ARP) strategies, which claim to offer broad diversification across distinct economic drivers and to be lowly correlated to equity markets, was particularly poor. Because of their…
The year 2018 has been a difficult one for the broad alternative risk premia (ARP) market. Not only have these strategies lagged conventional 60/40 investing, their year-to-date negative performance has been widespread within the ARP market.
This 28 page document provides a comprehensive overview of the characteristics of U.S. equity indices, covering broad, country, sector and thematic indices. The report examines fund flows and investor sentiment, providing guidance in the use of ETFs to efficiently capture index returns.
This 44 page document provides a comprehensive overview of the characteristics of European equity indices, covering broad, country, sector and thematic indices. The report examines fund flows and investor sentiment, providing guidance in the use of ETFs to efficiently capture index returns.
This study examines the risk-adjusted performance of actively managed mutual funds vs. passively managed mutual funds between 1991 and 2018 and finds that the statistical significance of the difference in performance between the two types of funds disappears when the passively managed funds are compared to competitively…
ETFs can be useful tools for investors building their portfolios. This paper by Vanguard examines their role in portfolio construction and in providing market liquidity and market information.
This policy statement sets out our final rules and guidance to address some of the findings of the asset management market study, focused on fund objectives and the presentation of benchmarks. This second set of remedies is part of a package of measures which we have introduced to address weaknesses identified by our asset…
Chan Samadder discusses the reasons that China may be too big to ignore and too disruptive to miss, as well as the process of selecting indices for targeted exposures to Chinese equities.
Scale undoubtedly matters in the investment industry, but the question arises as to whether the degree of scale is limiting competition and innovation. This paper by Broadridge explores further.
2018 was one of the worst years in living memory for the financial markets, but how exactly did investors react to the turbulence? Looking at how their preferences changed over such a period isn’t just interesting in itself – it might also help us figure out what may happen in 2019.
A summary of results from a 12-month RVK study regarding several cyclical market factors that have made active management in US Equity challenging over the last 7 years. Concludes that 2 factors – 1) the strength and duration of overall market performance, and 2) dispersion of returns – can explain challenges of active…
This paper debates the issue of active versus passive management and encourages clients to complete a more thorough analysis of their needs and different opportunity sets to make better active/passive decisions.
The nearly 20% peak-to-trough plunge in the S&P 500 Index last quarter revealed that not all alternative risk premia (ARP) strategies are created equal. Among the 10 largest ARP funds accepting new capital in the SG Multi Alternative Risk Premia Index, for instance, the best strategy beat the worst by more than 10…
I recently spoke to a room full of financial planners and advisors at the Inside ETFs industry conference in Florida. Based on my experience with market indexes—which form the basis of exchange traded funds, or ETFs—I offered some ideas on portfolio construction, or rather deconstruction.
This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen’s alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark four-factor capital asset pricing model.…
