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.
This paper develops a framework for evaluating the impact of currency hedging on expected returns and volatility and tests the implications for global equity and fixed income portfolios using data on 12 developed markets from 1985 to 2019.
Many factors can explain return attribution differences in credit portfolio returns – curve, interest rate positioning, sector allocation and security selection. Solid bottom-up fundamental credit research is certainly a cornerstone of any successful corporate bond management strategy, as most credit managers generally…
Portfolios face many risks. Some may be gradual but persistent, like climate change and demographic shifts; while others happen suddenly, like pandemics or financial crises. State Street proposes a method of portfolio construction that accounts for complexities while recognizing that most investors care about performance…
In the field of factor investing, quality is undoubtedly the equity factor with the weakest consensus. This research investigates the best way to define it. In order to capture the multi-faceted reality of the factor depicted in academia, Amundi address the quality factor through a multidimensional process by defining four…
The analysis presented in this paper considers bond-level and issuer-level variables using a comprehensive panel of US corporate bonds from 2000 to 2018. Bond-level data are sourced from the Bloomberg Barclays US Aggregate and US High Yield universes. Issuer-level data for each bond are obtained from Bloomberg by linking…
As geopolitical factors increasingly influence markets, investors need to gauge the impact on investments. Most experts consider political risks unquantifiable, but this publication shows how such risks can be quantified and used for risk management.
Dimensional Fund Advisors study the performance of different investment and spending strategies for retirement. Investment strategies include wealth-focused glide paths that combine equities with short-term, high-quality fixed income. They also consider an income-focused glide path that combines a moderate equity allocation…
The SBBI Summary Edition will help investment professionals gain an understanding of major asset class returns, return calculations, and the long term impact of size, value/growth, and liquidity on returns.
In an unprecedented development, many global bond markets have been trading at negative nominal yields. This publication provides in-depth analysis of the causes of negative yields, the economic and financial impacts, and the outlook for investors.
Unlike liquid markets and real estate, a lack of publicly available data has made assessing risk more challenging for infrastructure equity assets. Laurence Monnier, Head of Quantitative Research – Real Assets, considers the options for investors looking to complement qualitative assessments with quantitative rigour.
Amundi study the introduction of robo-advising on a large representative sample of Employees Saving Plans. The robo-advisor proposes a portfolio allocation and alerts investors if their allocation gets too far from the target, while investors remain free to follow or ignore the advices. Amundi find that relative to self-…
Intangible assets have always been part of the economic landscape. In this study Dimensional Fund Advisors examines the impact of intangibles, both internally developed and externally acquired, on their ability to identify differences in expected stock returns. Their research does not find compelling evidence that they…
Dimensional Fund Advisors examines how company-level greenhouse gas emissions have been related to company financials as well as the expected returns of the companies’ stocks and bonds from 2009 to 2018. Examining the U.S., developed ex-U.S., and emerging markets, Dimensional Fund Advisors do not find emission intensity,…
Dimensional Fund Advisors study the relation between U.S. inflation and the performance of global asset classes (including bonds, stocks, industry portfolios, factor premiums, commodities, and REITs), both over a long sample period (1927–2020) and over the most recent 30 years (1991–2020). They find that most assets had…
MFS IM's CEO Michael Roberge explores the attributes of a skilled active manager, and how adopting an Active 360 perspective can be supportive of identifying skill and driving long-term outcomes.
In collaboration with Rockefeller Asset Management and Casey Clark, CFA (MBA '17), the NYU Stern Center for Sustainable Business examine the relationship between ESG and financial performance in more than 1,000 research papers from 2015 to 2020.
Stocks rose for a fifth straight month during June, as ongoing optimism that the global economy is rebounding outweighed concerns about faster inflation and higher interest rates.The STOXX Global 1800 Index gained 1.5% when measured in dollars and including dividends, taking its gain so far this year to 12.7%. Excluding…
The S&P 500 continued up, posting 8 new closing highs in the 22 trading days (5 in a row, ending the month with 1 of them) and 34 YTD (124 trading days, with 11 of the 34 on the last trading day of the week). Even the fear of inflation (and the end of Fed stimulus) failed to stop the index from reaching new highs. The S…
This study, 'Benefits of Open Architecture and Multi-Management in Real Estate Markets – Evidence from French Nonlisted Investment Trusts', reviews the risk and return characteristics of Sociétés Civiles de Placement Immobilier (SCPIs), a form of French non-listed real estate funds, to assess whether modern investment…
In recent years, Value has underperformed other factors in global equity markets. However, the sources of Value performance are not identical. The purpose of this analysis is not to identify the reasons for the slump in Value, but to analyze its performance by region and the differences in the sources of Value performance.…
