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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.

Clear Path Analysis Report: The evolution of factor investing

Investors have long followed rules-based approaches to put together investment portfolios.

In fact, quantitative asset management has a heritage of at least eight decades. The merits of a simple, rules-based approach—choosing “value” stocks on the basis of accounting metrics like price to book value or price to earnings ratios—were set out by Benjamin Graham and David Dodd in their seminal book “Security Analysis”, published in 1934.

Company: FTSE Russell
Date added: 14-02-2017
Sector: Indices

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FTSE Russell - Volatility reduction: How minimum variance indexes work

Minimum variance indexes, which apply rules-based methodologies with the aim of minimizing an index’s volatility, are popular among market participants interested in smart beta. In this FTSE Russell Insights, the third in a series of three covering risk-based indexes and their applications, we review minimum variance indexes in detail. 

Company: FTSE Russell
Date added: 14-02-2017
Sector: Indices

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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 - 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 - 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 - 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 - 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 - 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 - 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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