Top 20 Whitepapers of December 2018
The Most Popular and Trending Papers of December 2018
We've made our list, and checked it twice. Below you'll find Savvy Investor's top 20 papers for the month of December, including Axioma's examination of the absence of the index effect, FTSE Russell's paper on multi-factor index construction techniques, and an in-depth look at best execution practices in the fixed income market.
If you're looking for 2019 Outlook content, you can find it here. The papers below span several other topics of interest, like climate risk, green real estate, factor investing, and behavioral finance.
Alternative approaches to multi-factor index construction (FTSE Russell)
Should multi-factor indexes be constructed in a top-down or bottom-up fashion? FTSE Russell compares the resulting exposures and diversification of composite factor, composite index, and multiple tilt approaches to index construction.
Signs of Equity Market Strain - Market Stress Monitor (Intech)
(For compliance reasons, this paper is only accessible in Certain Geographies)
What are the signs of equity market stress? In this paper, we offer a collection of reliable indicators to help identify the degree of market instability. These indicators provide investors with insight to capital markets that complement other conventional risk metrics (e.g., valuations, sentiment, economic).
European Equity Spotlight: Selecting Indices to generate better performance (Lyxor ETF)
(For compliance reasons, this paper is only accessible in the UK & Europe)
This 40 page document provides a comprehensive overview of the characteristics of European equity indices, covering broad, country, sector and thematic indices. The report examines fund flows and investor sentiment, providing guidance in the use of ETFs to efficiently capture index returns.
Local currency EMD - Time to reconsider an active allocation? (Capital Group)
(For compliance reasons, this paper is only accessible in Certain Geographies)
Active allocations to emerging market debt can offer several advantages to investors, including off-benchmark exposures, increased ability to manage risks and currency exposures, and deliberate capital allocations.
The Value of Community Impact in Social Infrastructure (Franklin Templeton)
(For compliance reasons, this paper is only accessible in Certain Geographies)
Private investors can have a positive impact on communities via their investments in social infrastructure projects. Franklin Templeton looks at what these investments might look like, as well as the approach that investors should take.
Brexometer Commentary Q4 2018 (State Street)
State Street's Brexometer is a quarterly survey of investor sentiment surrounding the impact of Brexit. The survey also covers a wide array of related topics, including FDI, risk appetite, and the economic outlook for the UK.
Real Estate: Building Blocks for the Low Carbon Economy (FTSE Russell)
How can climate change affect the returns of real estate assets? This paper looks at green real estate investments and a geolocational approach to evaluating real estate sustainability.
Invesco Global Factor Investing Study 2018
Invesco's 3rd annual Global Factor Investing Study is based upon interviews with over 300 institutional investors and is the largest in-depth analysis of global factor investing.
Experts on Climate Change (DWS AM)
(For compliance reasons, this paper is only accessible in the United States & the UK)
This report examines multiple perspectives of climate change - a scientific view of its scale, the legal imperative to act, actuarial climate risks, and consulting and portfolio management viewpoints.
FTSE350 Pensions Analysis 2018 (Hymans Robertson)
(For compliance reasons, this paper is only accessible in the UK)
This is Hyman Robertson's tenth annual FTSE350 pension analysis report. It puts the Defined Benefit (DB) pension schemes of the FTSE350 in the context of the businesses that support them.
Private Equity Investing and the Longest Bull Market: Navigating the asset class today (Ares)
Does the standard private equity model fail to account for the present amount of dry powder or the length of the current bull market? This report covers ways that PE investors can respond to rising challenges.
Navigating climate scenario analysis: A guide for institutional investors (IIGCC)
Thinking of conducting a scenario analysis based upon the systemic risks imposed by various climate change scenarios? This is a how-to-guide for any institutional investor engaged in such analysis.
The Curious Disappearance of the Index Effect (Axioma)
Stocks used to rise in value immediately before being added to a major index, but this effect has weakened since 2013. In this paper, Axioma looks at why the index effect has diminished over time.
Making the Case for CLOs for U.S. Insurers (PineBridge)
This paper explores how collateralized loan obligations work, as well as the potential benefits they offer insurance investors.
Fixed Income Best Execution: Not Just a Number (The Investment Association)
The concept of best execution is more opaque in the fixed income market than within equity markets. The Investment Association examines fixed income best execution in detail, providing helpful insight into the analysis of fixed income trades.
Energy transition in the world's fastest growing economies (BloombergNEF)
Growing populations require increased access to energy, creating demand for infrastructure improvements (and opportunities for investors). This report looks at clean energy trends, power generation in developing markets, and other issues.
Popular Methods for Forecasting Long-Term Equity Trends (PGIM Institutional Advisory & Solutions)
(For compliance reasons, this paper is only accessible in the United States)
PGIM’s Institutional Advisory & Solutions team looks at 2 approaches to estimating long-term returns (10-year equity returns) - one using a CAPE regression and another using a building block approach.
Uncovering Macro Characteristics in Carry Portfolios (QMA)
QMA looks at carry premia across asset classes, and the macroeconomic conditions that affect individual premia returns.
Popularity: A Bridge Between Classical and Behavioral Finance (CFA Institute Research Foundation)
This lengthy paper examines the ways that behavioral finance and classical finance differ, yet can complement one another. Incorporating a framework of popularity within an equilibrium setting allows for additional insight.
A Multi-Factor Strategy for Index Enhancement (QMA)
This study proposes a multi-factor approach to outperforming an index by removing both 'lottery' stocks and 'safety' stocks.
ABOUT THE AUTHOR
Andrew Perrins is a former Actuary and Asset Allocator. as an Actuary, he worked for 15 years in, serving as Director of Asset Allocation for Abbey Life Chase Manhattan, before setting out on a more entrepreneurial path.
To contact him, email andrew.perrins@savvyinvestor.net