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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.

S&P Dow Jones Indices - Evaluating Sustainable Investment Trends

We are in a period of flux; the world is undergoing multiple complex transitions, but shocks and release of tension could also brighten the risk outlook. Meanwhile, a number of key developments are likely to shape environmental, social, and governance (ESG) trends over the course of 2017.

Company: S&P Dow Jones
Date added: 01-02-2017
Sector: Environmental, social and governance (ESG)

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S&P Dow Jones Indices - Momentum: A Practitioner’s Guide

As an investable concept, momentum is straightforward — purchase (avoid) stocks that have performed relatively well (poorly) recently. The period over which returns are evaluated is important for momentum; for example, there is evidence of a one-month reversal effect in stock prices.

Company: S&P Dow Jones
Date added: 23-01-2017
Sector: Indices

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S&P Dow Jones Indices - The Persistence of Smart Beta (2015)

As Smart Beta and factor strategies become increasingly popular, will this impact their performance? Certainly, persistent outperformance from systematic strategies seems to run contrary to efficient markets theory. In this 18 page document, S&P Dow Jones examine the arguments.

Company: S&P Dow Jones
Date added: 26-10-2016
Sector: Smart Beta

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S&P Dow Jones Indices - Long-Termism: Index Impossible?

Short-termism (or quarterly capitalism) is defined as companies’ fixation on managing for the short term, with decisions driven by the need to meet quarterly earnings at the cost of long-term investment. Short-termism at its worst has the potential to be problematic, as underinvestment can impede future economic growth, manifesting in low GDP growth, higher unemployment levels, and lower future investment returns for savers. In our previous paper in this two-part series, “Long-Termism Versus Short-Termism: Time for the Pendulum to Shift?”, we wrote about short-termism and how market participants are responding to this issue.

Company: S&P Dow Jones
Date added: 22-09-2016
Sector: Indices

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S&P Dow Jones Indices - Why Does the S&P 500 Matter to the UK?

This paper examines the S&P 500 from the perspective of a UK-based investor. We examine the concentration and sectoral makeup of the U.K. equity market, and the motivations for British market participants to diversify internationally; the role of the UK and the U.S. in the global economy and global equity markets; potentially complementary aspects of an S&P 500-linked investment for a broad-based British equity portfolio denominated in British pound sterling (sterling); and the differences between the S&P 500 and other indices or active portfolios tracking U.S. equities. Although this paper provides a perspective on the S&P 500 through the specific filter of an investor with an expected existing bias toward UK equities, many of our observations hold more generally for international investors considering U.S. equities.

Company: S&P Dow Jones
Date added: 21-09-2016
Sector: Indices

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S&P Dow Jones Indices - Mergers & Acquisitions: The Good, the Bad, and the Ugly (and how to tell them apart)i

Year-to-date through July, over $800 billion of merger-and-acquisition (M&A) activity has been announced in the U.S. Should acquiring-company shareholders expect to benefit? In this study we show that, among Russell 3000 firms with acquisitions greater than 5% of acquirer enterprise value, post-M&A acquirer returns have underperformed peers in general. A number of deal-related and fundamental attributes can be used to separate the ‘good’ from the ‘bad’ (and, sometimes, the really ugly).

Company: S&P Dow Jones
Date added: 21-09-2016
Sector: Indices

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S&P Dow Jones Indices - Strategy 101: S&P GIVI Developed

The S&P GIVI® (Global Intrinsic Value Index) is a rules-based index series that is designed to deliver both low volatility and performance, weighted by intrinsic value rather than by traditional market capitalization. The indices are designed to provide those factor tilts while maintaining benchmark-like characteristics (low overall tracking error and similar region, country, and sector bets as the benchmark), along with high capacity.

Company: S&P Dow Jones
Date added: 21-09-2016
Sector: Indices

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S&P Dow Jones Indices - How Market Participants Found Light With Commodity Indices in a Dark Decade

To many market participants, it may seem like a “lost decade” for passive commodity indexing. After all, the most widely-recognized passive commodity index, the S&P GSCI (TR), lost about 10% annualized over the past 10 years. It is not the most impressive statistic, and what is worse is that the drop was not from a one-time crisis event. It was the result of an ongoing saga of dismal fundamental factors like slowing Chinese demand growth and an oversupply of oil from OPEC and U.S. producers, in conjunction with a range of unfavorable macro factors like a strong U.S. dollar, low interest rates, low inflation, and low growth. However, as with all crises, opportunities arise.

Company: S&P Dow Jones
Date added: 21-09-2016
Sector: Commodities

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S&P Dow Jones Indices - Commodities 101: Drilling Down Commodities

Investors have historically used commodities for its diversification and inflation protection benefits. The concept of commodities as an asset class, however, is not widely understood. Unfortunately, there is no single acceptable definition of an asset class or of commodities as an asset class. However, the way one chooses to define asset class is an essential part of asset allocation.

Company: S&P Dow Jones
Date added: 21-09-2016
Sector: Commodities

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S&P Dow Jones Indices - Fed Serves Notice From Jackson Hole: We Are Keeping Our Options Open

While recent commentary by an assortment of Federal Reserve officials provides worthwhile insights into current thinking within the Federal Open Market Committee (FOMC), it still boils down to the same message the Fed has been giving for a couple of years now: The path of monetary policy remains data-dependent. Collectively, the Fed would clearly like to resume normalizing U.S. monetary policy, but the question remains if the economy actually warrants a tightening of U.S. monetary policy.

Company: S&P Dow Jones
Date added: 21-09-2016
Sector: Indices

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S&P Dow Jones Indices - U.S. Equities in Aug 2016 - some highlights

The S&P 500® decreased 0.12% in August, bringing its YTD return to 6.21%. The Dow Jones Industrial Average® returned -0.17% for the month and was up 5.60% YTD. The S&P MidCap 400® was up 0.34% for the month and up 11.88% YTD. The S&P SmallCap 600® returned 1.22% in August, with a 12.11% YTD return.

Company: S&P Dow Jones
Date added: 07-09-2016
Sector: US Equities

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S&P Dow Jones Indices - SPIVA® Institutional Scorecard - How Much Do Fees Affect the Active Versus Passive Debate?

SPIVA® (S&P Indices Versus Active) is extending its coverage beyond retail mutual funds to institutional managed accounts and examining the impact of fees on performance. This report addresses three questions that are pertinent to the active versus passive debate: 

  • Do institutional asset managers deliver relative outperformance over their respective benchmarks?
  • Do mutual funds outperform their respective benchmarks on a gross-of-fees basis?
  • Do institutional managers fare better than their retail fund counterparts in particular asset classes?

Company: S&P Dow Jones
Date added: 07-09-2016
Sector: Active Management

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S&P Dow Jones Indices - The Volatility of Active Management

The long-term returns of active funds and their relationship to passive alternatives have been the subject of celebrated studies, famous bets, and endless debate. But returns are only one part of the picture; proponents of active investing increasingly emphasize their capacity for risk management, as opposed to return generation. This paper examines the merits of such claims, along with how individual funds achieve higher or lower volatility than their benchmarks - and whether these tilts are persistent. Our focus is on the volatility of mutual funds available across Europe and the U.S.

Company: S&P Dow Jones
Date added: 01-09-2016
Sector: Active Management

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S&P Dow Jones Indices - The Rise of Indices Is Changing the Face of Investing

This report by S&P Dow Jones takes an in-depth look at how indices are changing the face of investing. Specifically, it examines whether passive investing can grow too large and what the possible implications of this are for active management.

Company: S&P Dow Jones
Date added: 28-08-2016
Sector: Indices

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S&P Dow Jones Indices - Mid-Cap Indexing in Australia

The mid-cap space has often been described as the “sweet spot” of equity investing—and with good reason. Mid caps tend to offer a balance between the high growth (and high risk) offered by small caps and the stability (but slower growth) of large caps. In addition, the Australian mid-cap segment has a more diverse sector representation than both large-cap and broad-market Australian benchmarks, which are dominated by banks. Over the long term, these unique characteristics have helped the Australian mid-cap segment outperform all other size categories on both an absolute and risk-adjusted basis. Despite these characteristics, the mid-cap segment of the Australian stock market is often overlooked and underappreciated. Pure mid-cap investing is not common, and often, mid- and small-cap companies are lumped together for investment purposes, diluting the unique characteristics of mid-sized companies.

Company: S&P Dow Jones
Date added: 08-08-2016
Sector: Indices

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S&P Dow Jones Indices - Long-Termism Versus Short-Termism: Time for the Pendulum to Shift?

Kelly Tang, CFA and Christopher Greenwald, PhD of S&P Dow Jones Indices have co-authored this paper. In it, they examine the short- versus long-term debate, analyzing how institutional investors are suggesting to minimize short-term thinking. They explore how integrating long-term metrics is a crucial step in the transition to long-term thinking.

Company: S&P Dow Jones
Date added: 02-08-2016
Sector: Indices

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S&P Dow Jones Indices - Fooled by Conviction

Advocates of active management have argued that managers are overdiversified and should hold more highly concentrated portfolios. We argue that such high conviction investing will increase risk, make genuine manager skill harder to detect, raise asset owners' costs, and reduce the number of outperforming funds. This applies even if we accept the prevalence of security selection skill among active managers. Concentration only makes sense if managers have a particular type of skill, and this skill must be intrinsically rare.

Company: S&P Dow Jones
Date added: 27-07-2016
Sector: Active Management

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S&P Dow Jones Indices - What Is In Your Smart Beta Portfolio? A Fundamental and Macroeconomic Analysis

This paper reviews some typical smart beta strategies that seek to track the more common factors in the U.S. market, with the aim of better understanding the characteristics of these strategies. Using a risk model, the paper starts by examining primary and secondary exposures; next, it examines the macroeconomic environments in which the various strategies outperformed; finally, it examines the preceding analysis on four stylized multi-factor portfolios.

Company: S&P Dow Jones
Date added: 05-05-2016
Sector: Smart Beta

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S&P Dow Jones Indices - The Beauty of Simplicity: The S&P 500 Low Volatility High Dividend Index (May 2015)

In this paper, the authors first study the benefit of combining low volatility and high dividend strategies in a single index. They then take a closer look at the characteristics of the S&P 500 Low Volatility High Dividend Index, including sector composition, dividend yield, and historical return. Finally, they compare the S&P 500 Low Volatility High Dividend Index to other S&P Dow Jones Dividend Indices that are focused on the U.S.

Company: S&P Dow Jones
Date added: 30-06-2015
Sector: Indices

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S&P Dow Jones Indices - Factor Investing in Japan: An introduction to the S&P Japan 500 GIVI (May 2015)

The S&P Japan 500 GIVI (Global Intrinsic Value Index) is a recent addition to the S&P GIVI Series, which was launched in March 2012. With history available back to Dec. 31, 1999, the S&P Japan 500 GIVI is constructed from the constituents of the S&P Japan 500, which seeks to represent the large-, mid-, and small-cap components of the investable Japanese equity market. The S&P Japan 500 GIVI is an alternative to the S&P GIVI Japan, which is constructed from the S&P Japan BMI (Broad Market Index), giving the S&P Japan 500 GIVI.

Company: S&P Dow Jones
Date added: 15-05-2015
Sector: Japan

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