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 disperse, but they move to the right (toward higher values) faster than they become more disperse…

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…

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…

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…

The Page Executive 2018 Banking and Asset Management Salary Survey reveals average salaries and bonuses, by job type and years of experience. Covering compensation levels in front office roles in asset management, including quants, analysts and portfolio managers, and also featuring job functions with debt markets,…

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…

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…

Formal meetings with investment consulting firms can be make-or-break moments for asset managers. Strengthening relationships with consultants and ultimately winning a prized spot on their selective shortlists hinges on a manager’s performance in face-to-face formal meetings.

Our recently released white paper, Best…

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…

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…

While many investors have long taken factors into account for risk management, they’re increasingly recognizing that factors can also be return drivers. Ron Ratcliff, BlackRock’s Head of Multi-Asset Investment Risk for Americas West and Russ Koesterich, Portfolio Manager for BlackRock’s Global Allocation discuss how raised “…

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.

Now in its fifth year, the 2018 FTSE Russell global smart beta survey provides unique insight into major trends in awareness, popularity and use of smart beta strategies among global asset owners. In 2014, 25% of investors reported no current allocation in smart beta and had no plans to evaluate it in the future, today, it…

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.

This publication has been authored by CAIA and published by CFA Institute Research Foundation. It provides an overview of alternative investments for an institutional asset allocator or overseer of a portfolio containing both traditional and alternative assets. It is designed to build on the reader’s existing knowledge by…

52% of institutions have replaced a derivative product with an ETF (see 1 below). Efficiency, precise exposures, improved flexibility and low cost are all features that have contributed to ETFs assuming a more prominent role alongside traditional derivatives. 

The 2018 Guide to ETFs and Derivatives:

Institutional investors can’t ignore the role of factors within portfolio construction. When harnessed correctly, factors can enhance portfolio diversification and performance relative to traditional market-cap indexes. Our new research paper helps institutional investors ask the right questions and develop a deeper…

Collected interviews with high-profile factor investing experts, who bring an original contribution to the discussion. The concept of factor investing dates back to the 1970s, but it has only been gaining traction over the past few years. Factor-based allocation has its roots in the vast amount of empirical findings,…

Hermes discusses the supply chain for cobalt, the impact that cobalt mining can have on indigenous populations, and the increased demand for cobalt in lithium-ion batteries.