Tag Archives: 2018

Best Quant Papers of 2018 from Savvy Investor

The Best Quant Papers of 2018 from Savvy Investor

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The Best Quant Papers of 2018 from Savvy Investor

Quantlabs is pleased to be partnering with Savvy Investor, the world’s leading knowledge network for institutional investors. You may wish to consider joining their platform – it’s entirely free.

Fama and French win “Best Quant Paper 2018”

Savvy Investor curates the best pensions and investment white papers from around the world. Having uploaded more than 25,000 papers since launch, they have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to their institutional investor audience.

Call us sentimental, but we’re delighted to be awarding the Savvy Investor trophy for the best quant paper of 2018 to Eugene Fama and Kenneth French. Unlike some earlier papers authored by this duo, the winning paper is in no way ground-breaking. However, it reminds us all of the nature of equity market volatility, and the implications for long-term investment returns. As the name suggests, it is a “volatility lesson” for professional investors, coming from two of the most respected names in the business.

See the winning papers below, or visit Savvy Investor for the full list of winners and short-listed papers across all 15 categories. 

Best Quant Paper 2018

Volatility Lessons (Financial Analysts Journal – CFA Institute)
In this paper, Fama and French examine the return distribution of equities versus cash over a variety of time periods, and show that the probability of negative equity returns over three and five-year periods is substantial. Interestingly, for longer-term horizons (say 10 or 20 years) there is a marked increase in right skewness and kurtosis. In other words, compared to a normal distribution of returns, the left tail almost disappears and the likelihood of negative equity returns versus cash diminishes substantially. Another key conclusion from the data relates to drawing inferences about future risk premia from observed returns over 3-, 5- or 10-year periods. The duo argue that, due to the high volatility, the evidence from such a “short” time period will be too “noisy” to be reliable.

Robust Asset Allocation for Robo-Advisors (Amundi Asset Management)
Quant researchers from Amundi Asset Management examine the challenges faced by robo-advisors attempting to automate the portfolio allocation and rebalancing process. This is a detailed, complex and formula-rich paper which will appeal primarily to quant managers and analysts involved in portfolio optimization, specifically using a mean-variance approach.

The Correlation See-Saw (Axioma)
The correlation of returns between different asset classes is critical to overall portfolio risk. However, these relationships are not necessarily stable over time. Axioma analyzes the way that shifts in cross-asset correlations impact overall portfolio risk, examining a case study of the first five months of 2018 when there was an unusual pattern of correlation reversals. How should this impact an investor’s approach to risk analytics?

Combining Investment Signals in Long/Short Strategies (Goldman Sachs Asset Management)
This paper examines the best way to combine quantitative investment signals in the context of managing a long-short portfolio. Is it better to create one combined signal, or is it preferable to consider the portfolio exposures indicated by each signal and combine the different exposures? The authors carry out their own empirical study and compare the results with other academic evidence.

If We Don’t Believe Markets are “Efficient”, What Do We Believe? (Winton)
Despite the well-known faults that are inherent in the efficient market hypothesis, it still underpins several prominent investment strategies. The authors of this paper examine an ecological theory that could be more applicable to financial markets.

The Current State of Quantitative Equity Investing (CFA Institute Research Foundation)
In this 74-page paper, CFA Institute Research Foundation reviews the concepts of risk and return, anomalies and the onset of factor investing, as well as the influence of big data on the quantitative equity field.

Pulling the Goalie: Hockey and Investment Implications (Cliff Asness/Aaron Brown)
Harkening back to the 1980 ‘Miracle on Ice,’ the authors build a model to determine the precise time that a hockey coach should choose to pull the goalie when behind. They then apply these lessons to a portfolio management environment.

About Savvy Investor

Savvy Investor is the world’s leading resource hub for the institutional investors. Since launch in March 2015, more than 33,000 members from across the globe have registered for the site, with 200-250 new members joining every week.

Savvy Investor allows you to search and immediately find the top white papers on any investment topic, ranked by popularity.

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Long-term return forecasts 2018 via industry reports

Long-term return forecasts 2018 via industry reports

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Long-term return forecasts 2018

 

 

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Long-term return forecasts 2018

Long-term return forecasts 2018

Quantlabs is pleased to be partnering with Savvy Investor, the world’s leading knowledge network for institutional investors. You may wish to consider joining their platform – it’s entirely free.

“Expected” returns across the world’s major asset classes

Long-term return forecasts are key inputs into many asset allocation models. Here we’ve listed some of the top papers, published in the last few months, which provide long-term return expectations for the main asset classes.

At the end of the list, we’ve included a few papers that examine longer-term themes, such as secular trends, demographic drivers and disruptive technology.

2018 Long-Term Capital Market Expectations (Franklin Templeton Investments)
(EMEA only)
In their 2018 Long-Term Capital Market Expectations paper, Franklin Templeton uses forward estimates of economic data (not just historical performance) to generate return expectations over a time frame of the next 5 to 10 years.

Five-Year Expected Returns 2018-2022: Coming of Age (Robeco, Sept 2017)
Robeco forecasts their 5-year expected returns for all asset classes, focusing on boad trends such as secular stagnation, volatility, passification, the Eurozone, and the origin of returns.

Five-Year Outlook 2018-2023 (BMO Global Asset Management, Dec 2017)
BMO’s Five-Year Outlook considers scenarios and opportunities relevant to investment managers, including themes such as demographics and labor supply, populism, innovative technology, and the global economic outlook.

SSGA Long-Term Asset Class Forecasts, Nov 2017
SSGA combines their assessment of economic growth, inflation, current valuations, and risk premia in order to generate their long-term total return estimates. Short-term forecasts from tactical asset allocation models are also included.

Long-run asset class performance: 30yr return forecasts (2017-46) Schroders
Schroders presents their 30-year return forecasts for a host of asset classes. Their methodology is based on a series of building blocks and estimates of risk premia. Also included within are country-specific return expectations for Asia.

2018 Long-Term Capital Market Assumptions (JP Morgan AM, Oct 2017)
This 2017 edition of JP Morgan’s Long-Term Capital Market Assumptions report explores secular themes such as technology, demographics, and cyclical factors that they expect to influence returns over the next 10 to 15 years.

Capital Market Assumptions (BlackRock, Nov 2017)
In this quarterly update, Blackrock describes its Capital Market Assumptions as of November 2017, having updated their five-year capital market assumptions after recent gains in asset values.

Long-term return forecasts 2018 – diminished expectations (Deutsche AM, 2018)
(UK only)
This paper describes Deutsche Asset Management’s proprietary return assumptions over the long run, covering fixed income, equities and alternatives.

SSGA Long Term Smart Beta Forecasts, Sept 2017
In order to generate their long term smart beta forecasts, SSGA derives excess return expectations from current factor valuations and return premiums on a historical basis, then combines this info with equity total return forecasts.

The Rationale for Investing in Secular Trends (Robeco, 2017)
A good story on its own does not translate into a solid investment strategy. Herein, Robeco establishes a trend investing philosophy by laying out a conceptual and analytical framework for trend investing that moves beyond story telling.

Institutional Investment: Short-term thinking on the rise? (Franklin Templeton)
(EMEA only)
Franklin Templeton discusses results of a comprehensive survey on how institutional investors are adapting to market conditions such as technological disruption, demographics, political instability, regulatory change, and lower yields.

Long-Term Thinking: Demographic drivers (LGIM, June 2017)
(Not available in USA/Canada)
Demographic factors are shifting towards disadvantageous territory, with the global labour force declining, fewer births, and increased retirement age populations. LGIM derives long-term views from these global demographic trends.

Back to long-term investing in the age of geopolitical risk (Amundi, Dec 2017)
Amundi presents their analysis of a survey of pension plans on the topic of how to cope with a variety of geopolitical and economic risk factors, while still managing assets with a long-term mindset.

Longer Term Investments: Automation and Robotics (UBS, 2017)
UBS discusses recent trends and the outlook for factory and process automation, industrial software and 3D printing, as well as commercial drone and AI.

About Savvy Investor

Savvy Investor is the world’s leading resource hub for the institutional investors. Since launch in March 2015, more than 25,000 members from across the globe have registered for the site, with 200 new members joining every week

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!