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.
The changes facing many investment management firms are significant. In 2020, many investment management firms are highly motivated to cross boundaries in search of profitable growth. Crossing boundaries often means leaving the comfort zone and performing new activities or doing standard activities in dramatically new ways.…
The S&P Persistence Scorecard attempts to distinguish a manager’s luck from skill. One key measure of successful active management lies in the ability of a manager to outperform his peers consistently. This report’s results show that, irrespective of asset class or style focus, few fund managers consistently outperformed…
This study demonstrates that risk-adjusted returns of such strategies have potential to achieve higher returns and better Sharpe ratios using NDX options based on the Nasdaq-100 Index rather than SPX options based on the S&P 500 Index. The authors demonstrate how and why buy-write can be expected to improve risk-adjusted…
This paper by Professor Adriana Robertson of the University of Toronto provides the first detailed empirical analysis of the landscape of U.S. stock market indices. First, she hand collects detailed information about the universe of indices used as benchmarks for U.S. mutual funds. She documents substantial heterogeneity…
The audience for this paper is the non-technical reader looking to understand more about developments in the financial index industry. This may include current or future consumers of products based on indices, or investors in funds whose performance is measured against an index.
This 42-page report provides a detailed look into the U.S. asset management industry. It focuses on a variety of issues, including: (i) regulation; (ii) public and private investment funds; (iii) the industry's risk exposures; (iv) current industry trends and policy issues, and more.
How do index innovations and advisor strategies in the U.S. help shape strategies in markets around the globe? S&P DJI’s Stuart Magrath sits down with CCA Financial Planner’s Christopher Cachia to discuss key takeaways from S&P DJI’s latest FA study tour.
The 200-day moving average is a well-known tool for gauging U.S. equity markets, but could this signal of market momentum provide insight on which way the international market trade winds are blowing? Explore a new custom tool for navigating international markets with Pacer ETFs Sean O’Hara and S&P DJI’s Michael Mell.
Mutual fund returns are significantly related to stock characteristics in the cross section after controlling for risk via factor models. We develop a new double-adjusted approach that controls for both factor-model betas and stock characteristics in one performance measure. The new measure substantially affects performance…
The U.S. public equities markets are the most liquid, competitive and technologically advanced in the world.
Yet, outdated policies hinder the market’s ability to reach even greater heights. One of the highest-priority reforms laid out in TotalMarkets is replacing the current one-size-fits-all tick regime with a…
Today there are more active equity mutual funds and equity ETFs than individual stocks. Funds differ meaningfully in terms of individual stock holdings, and we examine the factor exposures of the typical fund and the cross section of holdings of different funds. We also examine the most common characteristics of funds, and…
The number of strategic beta exchange-traded products (ETPs) has exploded in recent years. According to Morningstar, in 2018 nearly 1,500 strategic beta ETPs, representing approximately $800 billion in total assets, existed worldwide, with 132 new products coming to market in that year alone. More importantly, the total…
This report includes articles on topics impacting the mutual fund industry, a summary of recent developments, together with links to recent publications of interest and PwC resources. This edition includes articles on the following topics: (i) SEC approves a new form of periodically disclosed active exchange traded funds; (…
We provide evidence that mutual fund managers misclassify their holdings, and that these misclassifications have a real and significant impact on investor capital flows. In particular, we provide the first systematic study of bond funds’ reported asset profiles to Morningstar against their actual portfolios. Many funds…
Direct indexing is gaining in popularity among investors. Is it poised to disrupt the ETF industry? Bloomberg turned to the veteran industry leaders to find out. Parametric’s CEO, Brian Langstraat (below right), joined the Trillions podcast to discuss the origins of direct indexing, how it works, which investors it makes…
Property investors who invest across a broad region, like Europe, can use a peer-group benchmark to gauge relative performance. But to determine the specific drivers of returns, detailed asset-level performance attribution can help shed light.
Pensions & Investments recently reported that mutual fund assets in DC plans total $3.19 trillion and target date funds have an $877 billion share of it! Assets in these strategies are surging – including collective-trust versions – given their use as a qualified default investment alternative (QDIA). A target-date…
Alternative risk premium (ARP) solutions have shown significant performance dispersion over the past two years. Some of them, including ours, achieved positive performance. But most failed to deliver on their promise and did not provide the expected diversification benefits, in particular during the equity market crash in…
