This paper studies the long-term returns of US equities to determine whether earnings yield is a reasonably reliable estimate of forward real returns. Understanding the interplay of growth, value and yield provides a framework for assessing investments.
Two recent papers looking at hedge funds provide further evidence that the more proactive managers are the best performers.
It is a common misconception that profit and impact are mutually exclusive. In fact, managing for mainstream risk-adjusted returns and creating a positive impact can be achieved in parallel.
Potential returns on traditional assets are falling and the search is on for different sources of attractive returns. The Australian Asset Backed Loans asset class deserves a place in many portfolios.
Two recent research papers on investment management look firstly at the implications of overconfident managers and, secondly, at career risk associated with poor investment performance.
There is no silver bullet to portfolio implementation. Both managed funds and managed accounts can provide a more streamlined and sophisticated portfolio implementation solution – and both have pros and cons.
Now in its 12th year, the annual IMR Conference presents investment management research. It brings together the full spectrum of investment management analysts - academic faculty from leading university business schools, public sector members, central bankers, professional investors, consultants and experienced practitioners and advocates.
Markowitz informed us of the risk-reduction advantages of diversification. But just how diversified does an investor have to be to realise almost all of the benefits of diversification?
Investors like to have their cake and eat it - i.e., they like investment returns (the higher the better) but dislike volatility (particularly negative returns). It is possible to engineer investment returns that meet those requirements.
Global Asset Back Securities were directly tested and survived the challenges of 2008. In this rising rate environment, they are well placed to help "future-proof" portfolios.
The investment opportunity in EM is greater than just the companies domiciled there. In essence, investing in global growth should not simply be defined or determined by where a company receives its mail.
Businesses adapting successfully to disruption exist across all industries and can be identified irrespective of prevailing market conditions. Finding those with improving earnings outlooks can deliver a future proofed portfolio.
Many of Australia's small companies are potential future leaders. A sharp focus on corporate governance can help identify those high quality, sustainable businesses that can last the distance.
To improve the accuracy of intended portfolio risk, investors should consider using a style neutral global equities fund to offset the likelihood they’re already invested in heavily style-biased portfolios.
Investment portfolio construction is, by definition, an exercise in long-term thinking. Given the uncertainties and competing priorities, are future-proof portfolios achievable? Practitioners share their views.
To future proof portfolios, you need human skill and judgment to distinguish between the purely random and real investment insights. This is the power of combining machines and humans.
Due to biases in investing, Sharpe ratios of investor portfolios are often not as high as investors expect. How low can a random walk of a Sharpe ratio wander through the natural realisation of risk?
Research shows that owner-manager businesses reward their long-term (non-family) investors because they instill a stability, a culture, and a focus that is geared towards the long term.
AI-based investment solutions will change the landscape much faster than expected - and the importance of making good human decisions will be amplified.
Differences in regulation, politics, and transparency between Asian countries are all factors that cannot be captured by passive investing but which represent opportunities for active investors.
A recent study gives us a better understanding into the decisions made by older Australians between consumption and saving.
Game changer or new danger? The rise of passive funds throughout this decade is recalibrating the traditional core-satellite portfolio model.
A fundamentally driven and benchmark unaware exposure to smaller companies within the emerging markets sector, this fund represents a unique way for investors to access emerging markets.
This week in Forum Fodder: Susan Lund – a corporate debt bubble?; Aaron Minney - most investors need to eat capital; Michael Furey - Investment faux pas; Tom Switzer - Don’t write off America; Douglas Isles - Beware the trifecta of desire
Since the GFC, the value of non-financial companies' outstanding bonds has nearly tripled. While a correction seems likely, the broad shift toward bond financing is actually a welcome development.
Over the years, I've seen countless portfolios. Virtually all have had a pre-defined asset allocation aligned to a risk profile. But occasionally, that's where the alignment ended.
Over-the-top streaming will become the dominant form of media consumption, and Netflix will be the dominant global provider. Near-term valuation multiples may ultimately prove cheap.
New means test rules for pooled lifetime income products, together with development of CIPRs, have the potential to radically alter Australians' views on retirement income products.
Masterclass NZ is a post-graduate extension program focused on contemporary issues that are fundamental to building better quality portfolios. Each year, the one-day program features five research-based, active learning sessions.
Eugene Fama described momentum investing as the one remaining market anomaly. A recent paper gives an explanation for it. Another shows it still offers high profits after implementation costs.
Many baby boomers are retiring with decent super balances and need advice on spending their retirement savings appropriately. Consuming capital for a higher standard of living is, after all, what super is for!
It is generally accepted that stock markets provide long-term outperformance over cash. However, a recent academic research paper reveals this is not the case for the majority of stocks since 1926.
Asset allocation is often regarded as the most important portfolio decision, with asset classes then populated by investments. But this two-step approach can an asset allocation and investment selection mismatch.
Only by understanding two factors can practitioners mitigate the risk of permanent loss of capital in emerging market companies.
Recent research examines the performance of active bond managers, and the impact of performance fees on returns of active equity funds and private equity funds.
The annual Investment Management Research Workshop showcases early stage research in the area of investments to a practitioner and academic audience. It is an initiative of the Investment Management Research Program which is presented by Portfolio Construction Forum, in collaboration with faculty of the University of Technology Sydney (UTS) Business School. The IMR Program succeeds the UTS Paul Woolley Centre.
The time has come for national governments around the world to start issuing their debt in a new form, linked to their countries' resources.
The concept of diversification may seem to be second nature. However, some of its fundamentals are often misused and sometimes misrepresented.
In nine pages, this paper says all that needs to be said on the ability of any of us to estimate the true value of financial assets. The next two papers produce conflicting findings on the impact of index investing on markets.
Structural change and the resulting earnings growth will always outrun interest rates in the long run, so as change continues to accelerate, investors need growth equities in their portfolio.
The general uptrend in the broader equity market seems set to continue given economic data globally remains robust and central banks very accommodating. Given divergent risks, investors should focus more than ever on uncovering sources of idiosyncratic alpha, rather than relying on momentum or passive beta.
Technological revolutions often spawn financial booms and busts - but the value proposition of blockchain is profound, and the technology has given rise to cryptoassets. Practitioners will increasingly be required to understand them.
The holy grail is to find active managers who can add value. The combined insights of these two papers suggest avoiding large managed funds, especially those under the control of managers who run a concurrent SMA.
It is the time of the year when those in the forecasting business like to lay out our expectations for the coming year. Here are mine...