Top White Papers of August 2018

The Most Popular and Trending Papers of August 2018
by Andrew Perrins

It is often said that ‘variety is the spice of life.’  With that in mind, we’d like to present August’s list of top papers; a list encompassing a smorgasbord of topics, including:  high yield analysis, inflation-linked bonds, ESG, short selling, and an outlook for the hedge fund industry (just to name a few).
treetop top papers August 2018
Volatility Lessons (Fama and French, 2018)
Due to the high volatility of returns for stocks, investors shouldn’t draw strong inferences about expected returns from realized returns over 3, 5, or 10-year periods. Investors acting on noisy evidence should reconsider their approach.

Research Brief: Integrating ESG in Portfolio Construction (QMA, Jun 2018)
QMA presents a unique approach, whereby companies can be ranked by ESG metrics whether or not they report sufficient data. This approach also generates comparable alpha to non-ESG portfolios.

For and against China as a standalone allocation (Fidelity Intl blog, Jul 2018)
(For compliance reasons, this paper is only accessible in the UK and Europe)
Given its under-representation in traditional indices for both equity and fixed income – should investors focus on China separately?

Why inflation-linked bond yields may not tell the whole story (Eaton Vance blog, Aug 2018)
This white paper looks at the outlook for U.S. high yield and why the Eaton Vance high-yield team have opted for a somewhat conservative, slightly defensive investment approach at this juncture.

Responsible Investing That Reduces Your Carbon Footprint (DWS AM, 2018) 
(For compliance reasons, this paper is only accessible in the United Kingdom)
DWS reviews the mounting evidence in favour of ESG investing and considers the drivers of low carbon methodologies and the benefits of titling portfolios to highly ESG rated securities.

Industry Leaders on the Future of the Hedge Fund Industry (AIMA, 2018)
This 108-page report attempts to answer pivotal questions about the future of the hedge fund industry involving product types, corporate social responsibility, and the role of artificial intelligence, amongst other topics.

Investment Insights: Retirement changes everything (Capital Group, Jul 2018)
(For compliance reasons, this paper is only accessible in certain geographies)
Investors need to be mindful of the differences between the how their personal portfolios are invested during the accumulation phase and the retirement income phase of their careers, as well as their needs for ongoing support.

A Tactical Asset Allocation Workflow (Axioma, 2018)
Axioma discusses the interplay between tactical (usually a shorter-term active overlay that deviates from the strategic benchmark) and strategic asset allocations for long-term investors.

Alternative Income Study 2018 (Aviva Investors, 2018)
(For compliance reasons, this paper is only accessible in the EMEA region)
This Aviva study suggests that European institutional investors are increasingly allocating to alternative income assets in order to pursue further diversification and stronger risk-adjusted returns.

Sustainability and recycling: investing for a circular economy (Hermes IM, Jul 2018)
(For compliance reasons, this paper is not accessible in the United States)
Society is addicted to plastics, but aside from merely attending to the resulting environmental problems, what is needed is a paradigm shift in goods production and goods consumption, and one in which investors can participate.

An Introduction to Short Selling (Managed Funds Association, 2018)
The Managed Funds Association presents an intro to short selling, including the benefits provided by the utilisation of this tool for risk management purposes and meeting financial obligations.

Buyer Beware: Bank Loans Are Not What They Seem (AB, Aug 2018)
(For compliance reasons, this paper is only accessible in North America and South America)
Now may be a bad time to invest in bank loans, given their relatively low quality, the fact that the US economy is in a later stage of the credit cycle, and the high cost of credit assets at present.

Navigating Fixed Income Portfolios in a U.S. Rising Rate Environment (eVestment)
eVestment analyzed the actions that U.S. public plans are taking to mitigate the downside risk from shifting and rising rates.

Broadening the universe: The strategic case for alternative credit (LGIM, Aug 2018)
(For compliance reasons, this paper is not accessible in the U.S. and Canada)
Should pension schemes be nervous about the fall in credit spreads for high yield and emerging market debt, or take the opposing view and continue to allocate to these asset classes?

A Map for the Future of the Euro (Invesco, Aug 2018)
This is the first in a series of five papers from Invesco that intends to examine Europe’s troubled past, its uncertain present, and its possible future.

Constructing Long-Only Multifactor Strategies (CFA Institute, 2018)
Long-only multifactor strategies can be constructed in two ways – by blending single-factor portfolios, or by signal blending (combining individual-factor signals into a composite signal to construct the portfolio).

Global active bond fund returns: a factor decomposition (Vanguard, Jul 2018)
This Vanguard research paper analyzes 15 types of global active bond funds to determine the portion of their results that can be explained by term, credit, currency, high yield, security selection, and market timing.

Foundations of High-Yield Analysis (CFA Institute Research Foundation, 2018)
This Research Foundation brief explores various dimensions of the high-yield bond market. Contributors discuss risk premiums, principles of credit analysis, covenants, and the process of forecasting a default rate.

King of the Mountain: The Shiller P/E and Macroeconomic Conditions (The Journal of Portfolio Management, 2018)
In this paper for the Journal of Portfolio Management, the authors examine the interplay that exists between the Shiller P/E ratio and the macroeconomy.

The evolving retirement landscape (Pensions Policy Institute, 2018)
This report explores the ways in which the retirement landscape has changed since the pension freedoms were introduced and what this might mean for future retirees.

Correcting for Survivorship Bias in Investment Product Universes (JOIM, 2018)
In order to help improve the investment decision-making process, the authors propose a practical technique to correct for survivorship bias across return distributions for investment product universes.

The Pulse of Fintech 2018: Biannual global analysis of investment in fintech (KPMG)
This 57-page paper is KPMG’s biannual analysis of the global investment in fintech. It examines key trends as well as a number of important questions driving interest within the market tod


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