Professional articles and academic papers on performance analysis. Attribution analysis seeks to compare the return from a fund with the return from a benchmark, and to explain the differences by decomposing the excess return into its component parts. Some of our most popular research on attribution analysis considers performance attribution methodology from first principles, providing... a primer on attribution analysis and models. Others white papers and reports focus on particular models, such as the Brinson Model, fixed income return attribution, equity attribution analysis, or the dissecting of hedge fund returns. A key aspect of performance is of course reporting to clients, and here the CFA provides guidance for effective investment reporting with its Principles for Investment Reporting model, known as GIPS (Global Investment Performance Standards) and encapsulated in the GIPS Handbook. A proper attribution of returns illuminates the contribution made by active managers, enabling judgements to be formed of whether excess returns have arisen from skill or luck. For most investment strategies, however, an extended period of time is required before such judgements can be made with any confidence.
Winner of Financial Analysts Journal Graham and Dodd Awards of Excellence, Top Award 2018.
Warren Buffett’s Berkshire Hathaway has realized a Sharpe ratio of 0.79 with significant alpha to traditional risk factors. The alpha became insignificant, however, when we controlled for exposure to the factors “betting…
We investigate hedge funds’ unobserved performance (UP), measured as the risk-adjusted return difference between a fund firm’s reported return and the hypothetical portfolio return derived from its disclosed long equity holdings. We find that high UP is (i) positively associated with measures of managerial incentives,…
Investing in infrastructure has become popular among institutional and private investors in recent years. Investors could be attracted to the potentially long-term, low-risk, and inflation-linked profile that can come with infrastructure assets, and they may find that it is an alternative asset class that could provide new…
Strategies designed to deliver steady and reliable returns have found increasing favour with investors in recent years after the financial crisis highlighted the dangers of traditional forms of investment. Since their returns tend to be less dependent on the overall direction of bond markets, absolute return fixed income…
Created in 1957, the S&P 500® was the first broad U.S. market-capweighted stock market index. Today, it is the basis of many listed and over-the-counter investment instruments. The S&P 500 Information Technology Index comprises all companies included in the S&P 500 that are classified as members of the GICS…
S&P Dow Jones Indices launched the S&P Carbon Price Risk Adjusted Indices to embed future carbon price risk into today’s index constituents. This paper explores it in detail.
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…
This 9-page paper by S&P Dow Jones Indices studies the degree to which outperforming funds from one period continue to beat their benchmarks thereafter.
This document includes Amundi’s view on asset returns used to build reference portfolios for our institutional clients. The edition published in February covers major macro and financial foundations, while on a quarterly basis it will provide table updates.
Investors often think of the investment opportunity set as a risk‐return chart, in the form of single‐point (dot) benchmark risk and return, and possibly single‐point median product to represent active management. However, active management universes in each asset class often have wide distributions and this traditional…
A study of style factor returns for Axioma’s Asia ex-Japan (APxJP) fundamental variant risk model reveals some potential investment opportunities for factor-based managers investing in the region.
With stock markets fueled by extraordinary central bank intervention in the wake of the Global Financial Crisis, passive equity strategies have seen great success in terms of performance, fund flows and press coverage. Often overlooked in the haste to declare a victor in the active/passive debate, however, is the fact that…
The U.S. equity market ended last year with a historic drawdown. Factor models helped identify the pockets of the U.S. market in which losses were concentrated, and beta stood out as a driver of the market decline. But what happened when those losses starting reversing in early 2019? In this blog post, Anil Rao of MSCI…
Long-term investors (LTIs), such as pension funds, super funds, sovereign funds, and endowments, are increasingly engaging in innovative investment activities. Many have sought to use their time horizon and their scale as comparative advantages in order to access financial markets on better terms, aligning their own…
Recent market turbulence has awakened memories of the painful side of stock volatility. It has also revived interest in defensive strategies that can provide long-term downside protection without sacrificing upside participation. But not all defensive strategies are created alike—they have distinct objectives and have…
We present the first estimates of investment returns and distribution rates for U.S. non-profit endowment funds, based on a comprehensive sample of more than 28,000 organizations drawn from Internal Revenue Service filings for 2009-2016. Endowments badly underperform market benchmarks, with median annual returns 5.53…
In this research, we analyze the relationship between ESG and performance in the recent years (2010 – 2017) since ESG was more an anecdotal and explanatory investment idea before the Global Financial Crisis. For that, we consider different regions (North America, Europe, Japan, World) and different investment styles (passive…
What if costs were the real issue in the heated active versus passive debate? This study 1 finds that much of the historical outperformance of passively managed funds relative to actively managed funds is simply a result of expenses. In today’s mutual fund market, however, there are many actively managed funds with expenses…
