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.
The exercise of translating a specified future investment objective into a strategy to be implemented in the present requires vision. It necessitates the ability to effectively evaluate today’s opportunities, conceptualize the risks that may materialize across an investment horizon, and implement a plan to manage those risks…
What, Exactly, Is a Factor? According to BlackRock, as of June 2018 there was $1.9 trillion invested in factor-based strategies—a figure expected to grow by nearly 80% to $3.4 trillion by 2022. There is no question that these strategies have moved to the forefront of investing, but their growing popularity begs the basic…
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…
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,…
The exercise of translating a specified future investment objective into a strategy to be implemented in the present requires vision. It necessitates the ability to effectively evaluate today’s opportunities, conceptualize the risks that may materialize across an investment horizon, and implement a plan to manage those risks…
Prior research has shown that decisions made at fund family level can account for a substantial portion of the performance of the individual active fund managers in the family. The question then arises whether the average fund performance of some fund families is persistently superior or inferior to that of other fund…
Developed in 1999 and jointly managed by S&P Dow Jones Indices and MSCI, the Global Industry Classification Standard® (GICS®) assigns companies to a single classification at the sub-industry level according to their principal business activity using quantitative and qualitative factors, including revenues, earnings, and…
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.
Not all alpha is created equally. We have argued in past publications that in order for active portfolio returns to add economic value for investors versus benchmark returns, active returns must be: 1) positive, 2) reliable, and 3) uncorrelated to benchmark.
The latest edition of Factors in Focus highlights the continuing rotation among factors during the first quarter of 2019, including the outperformance of quality and momentum – and looks to the indications from our adaptive multi-factor framework heading into Q2.
Though positive, February 2019 was the worst February for net flows since 2009.
For as much as January was a month which was negative, but not bad when looking more closely at the numbers, February was a month which was positive, but generally not good. February has historically been a bellwether month for the…
The Callan Periodic Table of Investment Returns conveys the strong case for diversification across asset classes, investment styles, capitalizations, and equity markets. The table highlights the uncertainty inherent in all capital markets. Rankings change every year. Also noteworthy is the difference between absolute and…
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 MSCI World and MSCI Emerging Markets indexes rose 12% and 9%, respectively, from January to March 2019. This contrasts sharply to the 2018 year-end losses. What stood out among the fast-moving market backdrop was the importance of keeping an eye on beta and what happened when losses reversed.
