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White Papers

White Papers

In-depth, expert analysis on the changing landscape of investments around the world. Leading asset managers reports uncover trends, highlight changes and consider future strategic impact.

CFA - The Evolving Future of Fiduciary Duty in an ESG World

With the launch of the European Commission’s (EC) sustainable finance action plan, the topic of sustainable investing - which considers environmental, social, and governance (ESG) factors and their impact - is reaching a new level of importance in the investment management profession. This survey by CFA Institute was designed to investigate what nearly 24,000 EU-based members consider to be the correct role of ESG factoring in investment management in general and as part of the formal fiduciary duty of regulated investment managers specifically, along with member opinions on related issues in sustainable investing.

Company: CFA
Date added: 22-10-2018
Sector: Environmental, social and governance (ESG)

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CFA - Driving Change: Diversity & Inclusion in Investment Management

As the investment management industry faces an increasingly competitive environment, with margin pressures, technological disruption, and changing consumer preferences, firms must focus on their “people model” as a key part of their strategy. The successful investment firm of the future will be differentiated by its culture and its ability to attract the best talent. An inclusive culture that leverages diverse views effectively will be an important element determining a firm’s success. The industry seems stuck when it comes to diversity and inclusion. In light of that, this report asks a number of pertinent questions: Why is this the case and what can be done to change it? What is working and what isn't when it comes to recruiting, promoting, and retaining top talent? What does an "inclusive" work culture look like?

Company: CFA
Date added: 21-09-2018
Sector: Briefing - Investment

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Fundamentals of Efficient Factor Investing

Combining long-only-constrained factor subportfolios is generally not a mean–variance-efficient way to capture expected factor returns. For example, a combination of four fully invested factor subportfolios—low beta, small size, value, and momentum—captures less than half (e.g. 40%) of the potential improvement over the market portfolio’s Sharpe ratio. In contrast, a long-only portfolio of individual securities, using the same risk model and return forecasts, captures most (e.g. 80%) of the potential improvement. We adapt traditional portfolio theory to more recently popularized factor-based investing and simulate optimal combinations of factor and security portfolios, using the largest 1,000 common stocks in the US equity market from 1968 to 2015.

Company: CFA
Date added: 02-02-2017
Sector: Multi Asset

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CFA - Quantitative Investing Is Fundamental

The quant manager has the same set of tools that any active manager has: Quants simply apply them using the ever-increasing power of computers. These tools allow the manager to pursue reward and deal with risk, costs, fees, and buying themselves the time necessary to distinguish investment skill from luck.

Company: CFA
Date added: 02-02-2017
Sector: Active Management

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CFA - Inefficiencies in the Pricing of Exchange-Traded Funds

In late 2008, some investors spotted an attractive opportunity to buy municipal (muni) bonds or junk bonds, because both types of bonds had declined dramatically in value in the immediate aftermath of the Lehman Brothers collapse, arguably more than could be justified by realistic expectations of future defaults. Exchangetraded funds (ETFs) provided a convenient new vehicle for investors to take advantage of this opportunity: Any investor, including a retail investor, could easily buy a diversified portfolio of muni bonds or junk bonds, pay a low expense ratio, trade positions intraday, and use leverage to capitalize more aggressively on the opportunity. Efficiently executing such trades with ETFs, however, turned out to be more complicated.

Company: CFA
Date added: 02-02-2017
Sector: Alternatives

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