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.
As of December 31, 2019, there were $5.7 trillion of active strategies using Russell US Style Indexes as performance benchmarks, and $466 billion using them as the basis for passive investment, for a total of $6.2 trillion in benchmarked assets.
Factor investing has a relatively short history in China. But the abundance of alpha opportunities in the Asian powerhouse has been well noted by academics and practitioners alike. The breadth and depth of China’s A-shares market, significant cross-sectional stock dispersion, high liquidity and competitive transaction costs…
Factor investing has a relatively short history in China. But the abundance of alpha opportunities in the Asian powerhouse has been well noted by academics and practitioners alike. The breadth and depth of China’s A-shares market, significant cross-sectional stock dispersion, high liquidity and competitive transaction costs…
Funding deficits and all-time market highs have many plan sponsors examining low volatility factor investing, which may offer market-cap-like index performance with reduced volatility and drawdowns. MSCI Minimum Volatility Indexes are useful “entry points” to this exposure, but like many indexes, they have constraints that…
The obscure we see eventually. The completely obvious, it seems, takes longer.” Edward. R Murrow. The U.S. stock market includes many of the world’s largest and best-known companies, and investors the world over have allocated capital to U.S. equities. However, many investors appear to have explored little beyond the so-…
Investment manager Lawrence Burns shares the views of brilliant minds outside the industry that will reshape your view of what equity investing is all about.
Funding deficits and all-time market highs have many plan sponsors examining low volatility factor investing, which may offer market-cap-like index performance with reduced volatility and drawdowns. MSCI Minimum Volatility Indexes are useful “entry points” to this exposure, but like many indexes, they have constraints that…
Institutional investors often pose the question of how factors perform across economic cycles. The concept of a normalised cycle has come under pressure in the post-Global Financial Crisis (GFC) era that has seen sustained quantitative easing, financial repression and lower trend growth. Consequently, this has necessitated a…
EDHEC-Risk Institute investigate the role of sectors on the performance of smart-beta products during the COVID-19 crisis. Cross sectional differences in excess returns (versus a market capitalized portfolio) are driven by strong exposures to a historically unique COVID-19 related industry rotation, rather than to long term…
It is well established that active equity collectively underperformed its passive counterpart over much of the last 10 years. Some of this underperformance can be attributed to the many closet indexers that are included in the “active” equity universe. What is not so well known is that active funds have gone through extended…
Meta-studies examining the relationship between ESG and financial performance have a decades-long history. Almost all the articles they cover, however, were written before 2015. Those analyses found positive correlations between ESG performance and operational efficiencies, stock performance and lower cost of capital. Five…
2020 was a challenging year for Alternative Risk Premia (ARP) solutions. In this paper, HSBC aim to identify the main performance drivers of ARP funds in 2020, understand their performance patterns and highlight any specific pattern relative to previous years, from an investor/practitioner point of view. Based on an ARP…
The SPIVA Australia Scorecard reports on the performance of Australian active funds against their respective benchmark indices over different time periods. This scorecard evaluated returns of over 897 Australian equity funds (large, mid, and small cap, as well as A-REIT), 475 international equity funds, and 112 Australian…
Many well-known investment factors have proved durable in contributing to investment returns. Empirical research indicates that in short and intermediate time horizons different fundamental attributes (factors), styles and sectors work at different points in the US economic cycle. The following analysis on cycle dynamics may…
Funding deficits and all-time market highs have many plan sponsors examining low volatility factor investing, which may offer market-cap-like index performance with reduced volatility and drawdowns. MSCI Minimum Volatility Indexes are useful “entry points” to this exposure, but like many indexes, they have constraints that…
The desire among institutional investors for portfolio protection (hereafter simply referred to as ‘Protection’) ebbs and flows based on their most recent experience. Despite the fact there is no shortage of research papers advising investors to not pay for explicit Protection because it is too expensive in terms of negative…
In reassessing prospects for sovereign bond allocations, we show why the outlook remains bleak with respect to return generation and why the equity-risk offset that many investors have come to rely on may degrade. Acadian presents a clarifying framework for evaluating fixed income replacement strategies and allocations,…
While discussion on the alpha-generating ability of emerging and diverse managers has been part of institutional conversation for decades, the use of emerging and diverse managers has become a mainstay of industry conferences and in many Board meetings more recently. This paper explores the alpha-generating ability of…
In this webinar, Aviva Investors explores how a simple but underused metric can help investors to assess the relative performance of fund managers over time.
