Published in the Financial Analysts Journal the flagship publication of CFA Institute

The average monthly premium of the Market return over the one-month T-bill return is substantial, as are average premiums of value and small stocks over Market. As the return horizon increases, premium distributions become more…

This report by Willis Towers Watson's Thinking Ahead Institute provides detailed analysis of the world's largest pension funds. Funds increased their value by 15.1% in 2017, compared to an increase of 6.1% in 2016. North America remains the largest region in terms of assets under management (AUM), accounting for 42.3% of all…

In this paper for the Journal of Portfolio Management, Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow examine the interplay that exists between the Shiller P/E ratio and the macroeconomy.

The 2019 edition of J.P. Morgan Asset Management's Long-Term Capital Market Assumptions draws on the best thinking of our experienced investment professionals worldwide. Refined and expanded over 23 years, our in-depth, proprietary process provides 10- to 15-year risk and return projections for more than 50 strategy and…

Long-term investors often passively track a strategic asset allocation benchmark whose weights across the various asset classes remains constant over a multi-year horizon (usually 10, 15 years, or longer). Specialist teams, internal or external, may be setup to add an active overlay portfolio in the form of a tactical asset…

In this paper, Professor Aswath Damodaran examines ways of estimating equity risk premiums (ERP). He begins by considering the economic determinants of ERP, including information uncertainty, perceptions of macroeconomic risk and risk aversion by investors. This is the 11th edition of this paper. It has been produced…

Some veterans of the asset management distribution industry describe the current environment as the most competitive of their careers. Investors are demanding much more, and turnover rates have reached almost 20%, with many firms forced to further institutionalize and professionalize their teams. This latest report, "Talent…

How do pension fund trustees approach the subject of fund manager selection? This 11-page paper is a collaborative effort between Aon Hewitt and Leeds University Business School. It's the third in the series analysing trustees of UK defined benefit (DB) pension schemes. It examines the relationship between trustees and their…

As more investors seek new sources of returns less correlated with the downward swings of the equity and bond markets, liquid alternative strategies have emerged as one of the more viable, and popular, investment options. Investors and their financial advisors are conditioned to select managers based on the asset class they…

This 279-page compendium of papers, published by CFA Institute Research Foundation, provides a detailed and fascinating look at the history of financial markets. Each section, which has been authored by prominent industry professionals, discusses a different facet of financial markets including risk and return over the long…

This paper by PwC examines investment process best practices by global pension funds. It looks at growing asset allocation trends, regulations, governance models, and other drivers of change.

This influential paper is Mebane Faber's update to his 2006 version. It incorporates new data from the period 2008-2012. The paper investigates how well the original work has held up since publication. Faber finds that overall, the models achieve equity-like returns with bond-like volatility and drawdowns, which was his…

Market volatility looks set to recur in 2019 as familiar factors such as tensions over international trade, diverging geopolitical views and a shift in monetary policy towards higher interest rates again roil investor sentiment. Beyond these known aspects, though, regime change is on the cards: two bull markets – the 30-year…

This detailed report (169 pages) is a collaborative effort between CFA Institute and Principles for Responsible Investment. It provides important global insights into the ESG integration techniques of leading portfolio managers and analysts around the world.

Download our Expected Returns 2019-2023 report (116 pages). This publication includes our five-year investment outlook for all major asset classes. In five special features we also look at some of the tough questions professional investors face today.

This report is not available for users from countries where the…

The authors of this report highlight current demographic developments around the world, illuminate the complex relationship between demographics, inflation and asset prices, and present demography-based predictions for major economies, based on proprietary methodology.

This paper draws on the insights of an array of PGIM investment professionals—as well as leading academics and foreign policy experts—to discuss the most relevant geopolitical themes, the potential winners and losers, and the implications for investors and portfolios.

Artificial intelligence may be the most transformative and disruptive advancement since the Industrial Revolution. After decades of hype and disappointment, AI is poised to fuel the next wave of innovation, and potentially provide unprecedented opportunities for companies and investors.

Authored by Savvy Investor and sponsored by Robeco, this 24-page special report is designed as a go-to resource for anyone interested in factor investing, covering a host of different factor investing issues in a short timespan.

The report explains the academic underpinning to factor investing, and describes how a…