Sharpe proposed that active investing must be a losing pursuit in aggregate. This paper takes a critical look at that proposition, and whether it is worthwhile considering using active fund managers.
Established in 2007, the annual Investment Management Research Symposium presents contemporary investment research. The two-day blended face-to-face and online learning program is designed and curated by our specialist, experienced and independent team, and features an exceptional Faculty of 20+ leading finance and investment thinkers from around the world. Each presents research related to this year's theme, "We are living in exceptional times".
This lecture instructs IMAC candidates on the principles of equity securities and analysis including: fundamental investing and analysis; industry analysis; corporate analysis; quantitative investing; momentum investing; value/contrarian investing; and, technical analysis.
This lecture instructs IMAC candidates on how to make decisions about a portfolio's market and currency exposure, and to determine the impact of those decisions on portfolio performance. To various extents, these topics are considered in other IMAC lectures (currency management, asset allocation, performance measurement) and hence this lecture fills the gaps.
This lecture instructs IMAC candidates on properties of debt markets, the investment features and risks of bonds, the application of the time value of money to the valuation of bonds, and the concepts of duration and convexity and their application to bond portfolio management.
This lecture instructs IMAC candidates on the accurate and meaningful measurement and assessment of investment portfolio performance, specifically performance measurement and attribution.
This lecture instructs IMAC candidates on: the primary roles of derivatives in investment portfolios; the difference between futures and forwards contracts and options; the risk and return characteristics of options; risk management strategies using derivatives; return enhancement strategies using derivatives; and, option pricing.
This lecture instructs IMAC candidates on: the multifactor approach to portfolio risk management; sources of risk that may be identified and managed within a portfolio; how risk may be managed using futures and options; Value-at-Risk as a measure of portfolio downside risk; Risk budgeting and Value-at-Risk; and how risk may be decomposed using value-at-risk to measure a portfolio’s overall risk.
Financial regulators have been reluctant to dish out jail terms. A new research paper finds that prison terms can be a cost-effective governance mechanism. A second paper gauges the impact of self-control on investment behaviour.
We can never know for certain how the macro backdrop will change or which investment style will dominate. But focusing on uncovering fundamental earnings leadership tunes out market noise, and enhances returns.
The significant valuation gap between listed and direct infrastructure markets presents an opportunity to arbitrage value from the two as the gap closes. Understanding the weight of this change into 2020 and beyond is key.
To achieve a satisfactory return from equities, you must identify high quality forecastable businesses, apply a strict valuation discipline and have the conviction to be different from the herd.
Trailing a rising market can feel like missing out - but pure pursuit of highest returns can have unintended consequences. Protecting capital on the downside has a material impact on total returns.
Prior to the GFC, you could build a retirement portfolio on the back of a 7% yield, virtually risk free. Today, without that free kick, a 7% yield is a much harder job, especially from a risk-budgeting perspective.
Limiting overlapping economic exposures more effectively creates concentrated yet diversified portfolios capable of meeting investors’ long-term objectives into the 2020s, while better managing risk.
The 2010s challenged value investors as, paradoxically, cheap stocks became cheaper and expensive stocks grew more expensive. For those holding their nerve, the inconsistency sets up a good 2020s.
Future returns from infrastructure portfolios are less clear due to disruptive forces. Managing these risks requires an unrelenting focus on improving efficiency and customer service.
Artificial Intelligence, Machine Learning (ML), and Deep Learning represent an important expansion of the quantitative investors' analytical toolkit, providing substantial new flexibility.
An antidote for a low-rate environment is investing in companies enjoying the benefits of mega-trends, global shifts that are likely to boost demand for the products of a firm over the long term.
Value investing has proven successful over time but it requires discipline and a long-run horizon - and disagreement remains over whether the value premium will persist. What's your philosophy?
Great eyesight depends on more than just clarity of vision - peripheral awareness, eye co-ordination, depth perception, focus and colour sensitivity all play a crucial role, without which our vision is impaired. Strategies Conference 2019 looks ahead at the issues that will dominate the 2020s and beyond to provide greater clarity in building quality portfolios.
Established in 2002, Strategies Conference has gained a reputation as THE portfolio construction strategies conference of the year. The two-day, blended face-to-face and online learning program is designed and curated by our specialist, experienced and independent team and features our Faculty of 50+ leading investment thinkers from around the world. Each offers his/her best high conviction ideas on contemporary and emerging portfolio construction strategies, in the context of the program theme, 20/20 vision.
Two recent research papers explore the impact of investors' increasing appetite for environmentally responsible investments.
While much of the discussion around climate change and transition risks is focused on negative impacts, these changes will offer significant opportunities for some businesses.
Research finds that SRI funds perform as well as conventional funds, ESG equity investing has outperformed in the US, and controversial stocks do best in crises.
Established in 2008, the Investment Management Research Workshop showcases contemporary academic research that is relevant to investment management. It gives you a rare opportunity to join with the full spectrum of investment management analysts - academics, professional investors, consultants, practitioners and advocates - to consider contemporary investment research.
Most of us use funds in clients' portfolios. Three new research papers look at what differentiates fund managers, highlighting factors we probably never considered important.
Two recent papers provide timely insights on the market impact of behaviour that is detrimental to corporate reputation, and the impact of ever-growing passive investing on behaviour within organisations.
Emerging markets are full of undiscovered opportunities and hope. Assuming failure may seem a counter-intuitive way to invest, but it is an effective way to avoid behavioural biases.
We must fully understand a fund’s performance to achieve best practice portfolio construction and recommend client solutions that truly reflect their investment beliefs and avoid unwanted biases.
Yes, it’s possible that we enter a recession in the not too distant future. But the best curve to forecast recessions still has a positive slope.