Risk and Portfolio Construction - Articles & White Papers
White papers and articles on portfolio construction and risk management for investment managers. Maintaining an appropriately diversified portfolio, managing portfolio risk, and controlling the risk/reward characteristics of a fund are essential basics for money managers. Academic papers on portfolio optimization are particularly helpful in this regard. The most frequently downloaded...
research in this section relates to reports on measuring investment risk, for instance: analysis of the time horizon over which risk is best estimated, and using risk factors as building blocks for portfolio diversification. Papers on tracking error have been well received as have papers on tail risk and fat tails. A number of articles in this section argue the case for concentrated portfolios and a need for more active management. Surveys on risk management and risk management systems have proved popular, enabling members to understand the risk practices employed by their peers. Other research on portfolio risk in this section includes papers on low volatility investing, equity risk premia, risk parity, models for forecasting asset class risk and the capital asset price model (CAPM).
Welcome to EQuilibrium — this new, annual global research from Nuveen explores the drivers of investor behavior and their impact on people, portfolios and problem-solving, with a particular focus on alternatives, responsible investing and the human side of asset management. Nuveen also looks at the beliefs, mindsets and…
Cryptocurrencies have attracted widespread interest among private investors and even some hedge funds as a vehicle for speculation. But what’s their role in a portfolio — growth engine or diversifier? State Street explores the potential role of bitcoin in multi-asset portfolios based on their track record for diversifying…
This paper reviews the significant progress in academic and policy research on climate change and its impact on expected returns and strategic portfolio allocation across major public assets. To date, there have been efforts to measure the environmental impact to firms within a broader ESG framework. Various sources may help…
Nuveen examines ways corporate pension plans at all funding levels can optimize their approach to portfolio construction and identifies how factor exposures and asset allocations shift when applying a factors-first approach.
Stock market bubbles fascinate researchers because bubbles have major implications for market efficiency, but their existence is disputed. This book evaluates academic research and other analysis of bubbles and their significance for investors.
How can investors capture the most important opportunities of the next decade? Thematic investing places structural change at the heart of a long-term equity portfolio and, in Lazard AM's view, can enhance returns, mitigate risks, and enable sustainability integration. It is time to change how we think about equity portfolio…
To account for asmmetric correlations, investors must measure them correctly. Many don't. Diversification is one of the core principles of investing. Unfortunately, it tends to disappear when it is needed most and turn up again when it is unwanted. To make matters worse, many investors and researchers measure these…
The question of ‘concentrated ownership’ has gained importance as a few large, passively managed vehicles such as Exchange Traded Funds (ETFs) hold a greater share of many highly traded securities. There is clearly a new type of nonfundamental risk premium emerging because of this growing concentration. With the growing…
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…
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…
Over the past three decades, a sustained surge in inflation has been absent in developed markets. As a result, investors are faced with the challenge of having little evidence on how to reposition their portfolios in the face of heighted inflation risk. The authors provide some guidance by analysing both passive and active…
The extraordinary market movements of 2020 had a considerable impact on the correlations between major asset classes. Some long-established interactions, such as the co-movement of share prices and sovereign yields, decoupled or even reversed temporarily, while the US dollar transformed from risky asset to safe haven. The…
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.
Willis Towers Watson specialists provide insights into key themes and opportunities for pension schemes looking to use bulk annuities, longevity swaps or capital backed solutions as part of their end-game strategy in the coming years.
The peak-end rule suggests memories of events are dominated by the moment of peak emotion and the end. Invesco use the VIX as a measure of pain during the pandemic and look ahead to tapering.
The peak-end rule suggests memories of events are dominated by the moment of peak emotion and the end. Invesco use the VIX as a measure of pain during the pandemic and look ahead to tapering.
In this paper, S&P Dow Jones Indices introduces the new S&P 500 Futures Daily Risk Control 5% Index (the Risk Control 2 Minimum Variance), which is the latest enhancement to S&P DJI’s Risk Control 1 (RC 1) and Risk Control 2 (RC 2), and a variation on our existing standard RC 2 methodology. In this new index,…
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…
This research paper considers the implications and applications of the EQuilibrium study’s findings on the drivers of investor behaviour and their impact on people, portfolios and problem-solving, and discusses what they mean for today’s decision-makers.
