WHITE PAPER LIBRARY

Value Harvest Sows Seeds for Opportunities Outside the United States

Published by Franklin Templetown

With the nascent rally in global value stocks now underway, where is the next pocket of overlooked opportunity for patient bargain hunters? In this paper, Templeton Global Equity Group explains that equities in Europe, Asia and emerging markets today appear to be undervalued, under-owned and positioned to benefit from burgeoning catalysts.


Global Macro Shifts—Trade and Taxes in a World with Borders

Published by Franklin Templetown

This edition of Global Macro Shifts examines US corporate tax reform and the potential impacts of a border adjustment tax (BAT). Templeton Global Macro reviews how a BAT would work, its likely effect on prices and exchange rates, its implications for the longer-term macroeconomic outlook, its impact on different domestic sectors and trade flows, and the potential ramifications for international trade relations.


Survey: The Path To Transparency in Alternatives Investing

Published by Northern Trust

As alternative investments have become mainstream, Northern Trust sponsored a survey with the Economist Intelligence Unit to ask 200 global managers and investors to assess how perspectives about alts have changed. Northern Trust’s latest paper discusses the survey, how views on transparency have evolved since the financial crisis, and the need for industry consensus around best practices in governance. Download “The Path to Alternatives Transparency” to learn what the mainstreaming of alts means for your organization.


Global Outlook- Looking Beyond the Cycle

Published by PGIM

Authors: Cuong Nguyen, Head of Asia Pacific Research, Greg Kane, Executive Director and Kelly Whitman, Vice President
In PGIM Real Estate’s latest Investment Research paper, “ Global Outlook: Looking Beyond the Cycle ,” we look beyond the cycle to assess values we are seeing today in a long-term context. Our analysis of the global property risk premium suggests that pricing looks sensible in a long-term context and offers decent protection against a moderate increase in interest rates. Looking ahead, one of the challenges likely facing investors is finding attractive income streams and sources of growth that can deliver target returns. To a greater degree than in recent years, investment performance is reflecting the idiosyncrasies of local markets and global investors stand to benefit from effective portfolio diversification strategies.


Managing Equity Portfolio Volatility by Harnessing the Volatility Risk Premium

Published by Eaton Vance


After eight years of stock market gains, many investors have tempered their return expectations and are focusing attention on how best to best achieve equity-like returns with less risk.


Emerging Markets Debt: Has the Rally Run its Course?

Published by Barings

Spreads for EM debt are approaching multi-year lows at a time when many EM economies including Argentina, China, Brazil, Mexico, Russia, South Africa and Turkey face challenges. Performance has been stellar over the past year and in the year to date. So what is the outlook for investors? How do inflation, spreads, capital flows, and monetary policy impact the risk-reward characteristics for EM debt? With a supportive macro backdrop, we see a favorable investment outlook for emerging markets debt, and explore opportunities across sovereign, local currency and corporate debt


Credit Market Investing: Stop Watching the Clock. The Fundamentals Matter More

Published by Barings

Investors are questioning how much longer the current credit cycle has to run. Of course, each cycle does not follow a predefined, finite timeline, and the cycle position can vary widely by industry, sector and geography. Regardless of where investors believe we are in the credit cycle, volatility events (potential or actual) are likely to be somewhere in the frame. So what does all this mean for investors? How can they best position their fixed income portfolios? As we evaluate the fundamentals across high yield, investment grade credit and emerging markets debt, we continue to see a range of opportunities—but selectivity is the key


The Art of Originating and Sourcing Private Assets... and the Potential Benefits to Investors

Published by Barings

Explore the benefits of private asset investing and learn how a variety of private markets can offer investors compelling return and yield opportunities. Without a formal market where buyers and sellers of private assets can interact, how are private asset investments sourced? What makes a successful origination platform and how can it ultimately benefit investors across Direct Lending, Private Equity, Infrastructure Debt and private Real Estate investments? The ability to originate and/or source deals and transactions is critical to successful investment in these assets.


Taming the Data Sea — 5 Essential Questions for Building a Better Data Strategy

Published by Northern Trust

A recent survey of asset managers globally by Northern Trust and the Economist Intelligence Unit (EIU) found that, on the whole, the industry has capitalized on the explosion of available data, but some firms are benefiting significantly more than others. In fact, only 13% of managers surveyed felt that their data strategy was entirely successful in helping meet business objectives. Northern Trust draws on best practices and experiences with clients to outline five essential questions you should answer when developing a data strategy.


Cash: An Asset in Adolescence

Published by Northern Trust

A combination of persistent low interest rates, interest in illiquid investments such as private equity and the unintended consequences of regulations have made effective liquidity management a challenge for investors and managers alike. In this paper, Northern Trust shares its experiences working with investors and managers to employ various strategies and adopt best practices that can help manage and source cash efficiently.


10 Questions to Ask your Alternatives Provider

Published by Northern Trust

Alternative investments are rapidly growing in both popularity and complexity. In this paper, we outline important questions to guide your assessment of alternative asset servicing providers across key themes: capabilities, long-term strategic fit, finding the right service model, and more.


Institutionalizing DC Plans

Published by Northern Trust

As defined contribution retirement plans grow in popularity and importance, the industry has come a long way. In collaboration with Clear Path Analysis, Northern Trust produced a series of articles, interviews, and roundtables on the current state and future direction of DC Plans.


Emerging-market debt: Navigating the allocation dilemma

Published by Eaton Vance

Authors: Michael A. Cirami, CFA, Matthew F. Murphy, Jr., CFA, CAIA
Description: Positive fundamental changes in emerging markets over the past 10-15 years, along with robust economic growth and the proliferation of emerging-market debt (EMD) indices, have helped transform EMD into a mainstream asset class.


Capitalising on the growth of the global high-yield market

Published by 

Michael Weilheimer, CFA, Jeff Mueller, Kelley Baccei, Steve Concannon, CFA, Will Reardon
High-yield bonds occupy a special capital market niche: They have offered significantly better risk-adjusted returns than equities and lower interest-rate sensitivity than the broad fixed-income market.


Following a strong year for loans, it’s back to the (floating) future

Published by Eaton Vance

Craig Russ, Ralph Hinckley
In 2016, floating-rate loans rebounded from two subpar years with a total return of 10.2%, or about twice the long-term average, as nearly two years of retail fund redemptions abated.


What’s to be made of the “Trump reflation trade”?

Published by Eaton Vance

Payson F. Swaffield, CFA
In the weeks following the November election, stock and bond markets both predicted boosts in growth and inflation – i.e., the “Trump reflation trade.”


Bonds Are Different: Active Versus Passive Management in 12 Points

Published by

Jamil Baz, Ravi Mattu, James Moore and Helen Guo
Up to now, the active-passive debate has focused mostly on stocks. This PIMCO research paper revisits the discussion by contrasting equity and fixed income markets in the U.S. It looks at performance numbers and finds that, unlike their stock counterparts, active bond mutual funds and ETFs have largely outperformed their passive peers after fees over the last 10-year period. It explores what the reasons for this could be, or, why "bonds are different."


  • A different kind of target-date investor

    Published by Vanguard

    Cynthia Pagliaro and Stephen Utkus
    Roughly one-third of plan participants who are in target-date funds at Vanguard are "mixed" target-date investors. In other words, they combine a target-date fund with other plan investment options. There are concerns that mixed target-date investors are misusing what are meant to be all-in-one funds and take on added risk in their portfolios through overlapping securities and unintended concentration in certain sectors.

    In A different kind of target-date investor , authors Cynthia Pagliaro and Stephen Utkus examine how participants become mixed target-date investors, determine if the concerns raised about mixed target-date investors are valid, and suggest measures to avoid such risks.

      • An Examination of Global Asset Allocation and Home Bias

        Published by Vanguard

        Brian J. Scott, CFA; James Balsamo; Kelly N. McShane; Christos Tasopoulos
        In 1986, Gary Brinson, L. Randolph Hood, and Gilbert Beebower concluded that asset allocation is the primary driver of return variability for a broadly diversified portfolio over time. Since then, some investment professionals have disagreed with the findings. This Vanguard research paper aims to bring clarity to the topic by examining two key questions: How does asset allocation affect your risk/return expectations? And how much home bias is reasonable?

      • Constructing a defined contribution investment lineup: Four best practices

        Published by Vanguard

        Frank Chism, CAIA; Kelly N. McShane; Stephen P. Utkus
        New Vanguard research shows how the role of target-date funds (TDFs) is changing the dynamics of participant decision-making in defined contribution (DC) plan menus. Vanguard proposes four best practices for constructing a plan lineup: (1) identifying plan objectives; (2) focusing on the fundamentals of investing; (3) creating a tiered lineup that reflects plan objectives; and (4) ensuring active, ongoing oversight.

      • Start of Something Big: Demystifying the Source of Large Alpha in Small Caps

        Published by QMA

        What is behind the apparent greater opportunity for alpha in small caps? Here, we solve one of the enduring mysteries, providing investors with a clear blueprint for how best to access one of today’s most fertile alpha sources going forward.

      • Longevity & Liabilities: Bridging the Gap

        Published by PGIM

        In this paper, PGIM builds upon the insights from our recent report, A Silver Lining: The Investment Implications of an Aging World, to discuss the challenges posed to pension plan sponsors by longevity risk and the options available for managing it.

      • Retirement Distribution Decisions Among DC Participants

        Published by Vanguard

        The overwhelming majority of retirement-age defined contribution (DC) plan participants leave their employer’s retirement plan within five years of separation from service, mostly for an individual retirement account (IRA) rollover account. When plans permit flexible distributions, retirement-age participants are more likely to remain in the employer plan. In this Vanguard research paper, Retirement distribution decisions among DC participants, author Jean Young explores the impact of retirement distribution decisions on target-date fund design and retirement income programs.

      • Best Practices in Factor-Based Analytics

        Published by Axioma

        As a portfolio manager, have you ever been surprised by a bad return period? Or wondered if there is a better way to identify the risks in your portfolio? Have you wanted to look for sources of return beyond sector breakdowns? If so, this paper will provide an overview into how you can address these questions and more.

      • Understanding the benefits of REITs in the US market

        Published by FTSE Russell

        Real Estate Investment Trusts (REITs) have enabled investors of all types to gain access to a regular income stream, a diversified portfolio of underlying properties and a link to the capital values of the portfolio holdings by means of companies with securities listed on a public stock exchange.
        This Index Insights from FTSE Russell provides an overview of REITs with particular consideration given to:

        ✓ A description of what they are

        ✓ The types

        ✓ Their role as an inflation-protecting investment

        ✓ Their income

        ✓ The FTSE NAREIT US Real Estate Index Series

        ✓ Equity and mortgage REITs—relative performance

        ✓ Listed real estate exposure via REITs

      • Technology and Operations Outsourcing

        A Guide for Asset and Wealth Managers

        Published by SS&C Advent

        The question is no longer whether you should look at outsourcing, but what functions and how much should be outsourced. Read this whitepaper, which explores a wide range of outsourcing options and explains the strategic advantages of outsourcing today.

      • Smart Beta and the Evolution of Factor-Based Investing

        Published by PNC Capital Advisors

        In recent years, smart beta strategies captured the attention of many investors. PNC Capital Advisors has been a long-standing advocate and practitioner of factor-based investing, with our Advantage Equity and Structured Equity teams employing multi-factor-based investment strategies for over 10 years. In this paper we discuss how smart beta works, its strength as an investment strategy, and its efficacy. We also delve into how to extend multi-factor investing beyond a smart beta approach.

      • Vanguard Life-Cycle Investing Model: A framework for building target-date portfolios

        Published by Vanguard

        Interest in tailored target-date fund solutions continues to grow. New tools from Vanguard can help plan sponsors determine if their plan participants could benefit from a glide path designed for their unique participant populations.

        In Vanguard Life-Cycle Investing Model: A framework for building target-date portfolios, authors Roger Aliaga-Díaz, Harshdeep Ahluwalia, Kevin DiCiurcio, Matthew Brancato, Scott Donaldson, and David Pakula explain the inner workings of Vanguard's proprietary model for glide path construction. The VLCM enables cost-benefit analysis of glide path customization, evaluation of risk-return trade-offs, and portfolio performance simulation under different market scenarios. The paper also shares general findings on which participant populations could see the greatest benefit from glide path customization.

      • As Investors Flock to Emerging Markets, Whither Risk?

        Published by Axioma

        Emerging Markets (EM) have been a big winner this year, turning in strong performance and seeing risk forecasts decline. Investors with a refreshed appetite for global risk have poured money into these markets. The enthusiasm could be facing headwinds, however. In this study, we delve into the various components of risk and what investors might want to keep an eye on as they consider EM for their capital allocations.

      • Capturing the Chinese A-shares and H-shares Anomaly

        Published by FTSE Russell

        The Chinese equity market is composed of a domestic and offshore market. The existence of the domestic A-share and the offshore H-share markets provides a choice for a Chinese company to choose its listing venue where the stock could be dually-listed on both markets. As the restrictions to invest in the China market are easing, investors look for tools to assist them as they aim to capture different aspects of the Chinese equity market.

        The behaviour of the price differential between A-shares and H-shares of dual-listed companies is studied from 2006-2016 in this paper. There is also an investigation into whether a share class selection mechanism applied to a universe of Chinese stocks can deliver improved index characteristics compared to a market-capitalisation weighted China A-shares benchmark.

      • Borrowing to Fund Pensions Could Increase Shareholder Value

        Published by Prudential

        Steadily escalating PBGC premiums coupled with persistently low interest rates have created unique opportunities for companies to reduce pension risk through a borrow-to-fund strategy. This paper examines the economic advantages of borrowing to fund pension plans—an approach that may also create shareholder value. By borrowing to fund deficits, firms replace uncertain (and often volatile) debt obligations—underfunded pensions—with a set amount of debt that includes a fixed funding cost. Today, sponsors of underfunded plans can borrow at attractive rates, allocate the funds to their plans, diminish or eliminate pension deficits, and negate PBGC variable rate premiums. This piece explains why borrowing to fund can be a key component of many plan sponsors’ overall risk-reduction strategy.

      • Key Fault Lines in the Global Earthquake Zone

        Diagnosing and positioning for tectonic shifts in the financial markets

        Published by Prudential

        Slow economic growth. Mountains of debt. Massive central bank buying. Negative bond yields. Rising inequality. China. In this paper we look at how the failures in two major systemic areas of developed market economies–-macroeconomic and policy–-have created a third major fault line–-political risk. We review how these risks interact, why they are the keys to our most serious future financial risks, and the implications for fixed income investment strategies.

      • Passive and Active Fulfillment Choices
        Target Date Funds: Combining the Best of Active and Passive

        Published by QMA

        Recently, there has been a movement away from active management. The low fees charged by passive vehicles, coupled with the perception of poor performance by active managers, have been the primary drivers for this shift. In today’s low-return environment, investors continue to be sensitive to the impact of fees on performance. In QMA's new paper, Passive and Active Fulfillment Choices, we discuss the performance characteristics of different types of US active equity managers in the large-cap space and examine the advantages of combining a quant approach with indexing. We also consider the implications for investors in target date funds and how these fulfillment choices impact retirement savings and income.

      • High Dividend Yield Portfolios: More Popular, Yes, But What About Risk?

        Published by Axioma

        Several recent articles have cited the renewed popularity of funds composed of stocks with high dividends. These articles pointed out that as stock prices have risen, valuations have increased, and this type of strategy may be more risky because it has become overvalued. Our goal was to look at the "riskiness" of the strategy through the lens of our risk models and to test the thesis using some standard valuation measures.

      • The Pension Risk Transfer Market at $260 Billion

        Innovation, Globalization and Growth

        Published by Prudential

        This paper examines the growth of the global pension risk transfer market and how firms around the world are transferring pension risk to insurers and reinsurers. Authored by Amy Kessler, the paper explores how these transactions secure the promises made to participants while achieving financial benefits for plan sponsors. Pension risk transfer is being employed by companies of all sizes and sectors, is customizable, and can help sponsors attain a lower-risk future. Amy and her team have closed over $40 billion in reinsurance transactions since 2011, covering members of nearly 200 pension funds in the U.K. She is leading the launch of Prudential’s longevity reinsurance solutions in Canada, the Netherlands and Australia, and has twice been named to Institutional Investor’s “The Pension 40.”

      • Multiple Employer Plans: Expanding Retirement Savings Opportunities

        Published by Prudential

        Tens of millions of Americans lack access to workplace retirement plans, leaving them at-risk of not meeting their financial needs in retirement. This retirement coverage gap is most acute among employees of small businesses. In fact, nearly 50% of workers at businesses employing fewer than 100 people lack access.Find out how multiple employer plans (MEPS) can help close the retirement coverage gap and enable more workers to participate in defined contribution plans and the advantages they offer.

      • A powerful combination: Target-date funds and managed accounts

        Published by Vanguard

        The needs of DC plan participants change and evolve over time: A single target-date fund (TDF) might serve them well early on, but other options may be more appropriate later on or as circumstances change.

        The good news is that the evolving and diverse needs of changing DC populations can be addressed with two complementary options in your plan's investment menu that span the retirement-savings spectrum—TDFs and managed accounts. In A powerful combination: Target-date funds and managed accounts, authors Cynthia Pagliaro and Stephen Utkus, Vanguard Center for Retirement Research, explain how this combination can work for all your plan participants, with TDFs as an investment fundamental and plan cornerstone, complemented by managed accounts that offer customized portfolios to meet specific individual needs.

      • The Long and the Short of It: The Quant Shorting Advantage

        Published by QMA

        There is a widely held view that we are in a lower return environment with single digit returns on the horizon for equity markets. In these times, any additional return is particularly valuable. Active extension, equity long-short, and equity market neutral products can be attractive for investors at any particular time, given investors' varied investment objectives and needs. That said, each of the three categories of shorting-enabled products can help address distinct issues facing investors today. QMA’s new paper describes how short selling can allow investors to find alpha in often overlooked places, explains the three main categories of shorting-enabled equity products, and highlights the benefits of a systematic quantitative process.

          ARCHIVED WHITE PAPERS

          • Small Cap Perspectives: Russell 2000 Index 2Q2016 Analysis

            Market recap — Value continues its run

            Published by FTSE Russell

            The Value style continued to assert its leadership in the cycle of style performance. Index data demonstrates that, regardless of cap size, defensive characteristics —companies with less economic sensitivity and more stable earnings profiles — are showing strength for the year, as are Value companies as determined by higher relative Book-to-Price characteristics.

          • What’s in a Name?
            In the Case of Smart Beta, it's Hard to Tell

            Published by Axioma

            Do ETF buyers, especially those seeking smart beta strategies, really know what they are getting? Is it alpha? In this paper, we focus on a few types of smart beta portfolios in order to highlight similarities and differences driven by methodology. Our results suggest a number of conclusions about how investors should be thinking about the proliferation of smart beta portfolios.

          • The Ease of Automation and Guaranteed Lifetime Income

            Published by Prudential

            American workers continue to face challenges on multiple fronts when it comes to retirement planning. The retirement industry places emphasis on plan design and its importance in meeting these challenges, but are the solutions offered to plan participants on target, and if so, are participants taking advantage of these solutions? Are there plan design features that plan sponsors could use to drive better outcomes?

            Prudential Retirement commissioned a survey that asked plan participants for answers to these questions, and more. This whitepaper takes an in-depth look at the findings and suggests ways plan sponsors can collaborate with intermediaries and product providers to better meet participant needs and expectations.

          • Unearthing Opportunities in Metals and Mining. Thoughts and Bonds: Macro Views from the Janus Fundamental Fixed Income Team

            Published by Janus

            Slowing global growth, deteriorating balance sheets and U.S. dollar strength have manifested in volatility for the metals and mining sector this year. While investors in search of yield have piled into the sector of late, the Janus Fundamental Fixed Income team’s long-term view is that there will be a continued struggle with oversupply in the face of sluggish growth and a looming demand curtailment from China. Learn more in our quarterly outlook.

          • Central Banks of the World: Yield to the Markets!

            Published by Prudential Fixed Income

            While some may blame the past year's market volatility on China’s economic slowdown, falling commodity prices, or Brexit, this paper discusses the possible culpability of some overzealous monetary policies. Has the Fed been too hawkish? Are the aggressive policy steps taken by the BoJ and the ECB perhaps inflicting more harm than good? We also consider where policies are headed next and why this backdrop may be good for the bond markets.

          • Expanding the Case for Stable Value

            Published by Prudential

            What drives decision-makers to adopt stable value funds? That is the question at the heart of Prudential Retirement’s latest research paper, Expanding the Case for Stable Value: New Insights into What Drives Decision-Makers to Embrace Stable Value Funds . The paper draws on a survey of more than 700 plan sponsors and intermediaries that gathers insights into how the two groups perceive stable value. Encouragingly, the study provides evidence that growing numbers of plan sponsors and intermediaries may be open to embracing the asset class. We strongly believe that growing the stable value market is an attainable goal and that the findings and recommendations contained in this paper can provide a roadmap for reaching that goal.

          • CoCo Risk: Practical Approaches to Measuring Risk

            Published by Axioma

            CoCo (contingent conversion) bonds have seen an upsurge in the headlines lately. In a nutshell, these instruments allow banks to boost regulatory capital during periods of financial stress, but not at the expense of taxpayers; hence, these instruments mitigate the too-big-to-fail doctrine. Investors of CoCos take the brunt of losses if a bank’s capital ratio dips below a predefined level.

          • How smart beta meets different investor outcomes

            Published by FTSE Russell

            Smart beta is being used by investment institutions to address multiple requirements and to produce different types of investment outcomes. As investors’ growing interest in smart beta is driven by risk- and return-based considerations, FTSE Russell provides examples of how smart beta indexes are being used by investors in both these areas. They also illustrate investors’ current use of smart beta through case studies involving their clients.

          • China Onshore Bonds

            Published by FTSE Russell

            China’s bond market is the third largest in the world after the U.S. and Japan. There have been positive recent developments to open up the onshore Chinese bond market – The IMF approved the Renminbi (RMB) as global reserve currency in November 2015 alongside the EUR, USD, JPY, and GBP. A few months later the RMB bond market was opened to foreign investors (February 2016). This allows investors to penetrate a new market with particular traits. This paper provides insights to the onshore China bond market by comparing characteristics of the FTSE Onshore China Bond Index Series and the European government bond markets.

          • Intention versus practice: factors limiting downside protection in portfolio models

            Published by John Hancock Investments

            Key Takeaways:

            ✓ RIAs and other advisors employing model portfolios express a desire for downside protection, yet often do not implement strategies sufficient to do so.

            ✓ A justifiable aversion to duration risk may be heightening downside volatility as advisors increase allocations to flexible bond funds with greater weightings in high-yield bonds and higher correlations to equities.

            ✓ Statement risk is a commonly cited concern for advisors who avoid alternatives and other potential diversifiers in an effort to keep things simple.

            ✓ The establishment of a performance blueprint would represent a positive step toward bridging the gap between intention and practice in model portfolios.

          • Revisiting The Role of Alternatives in Asset Allocation

            Published by PGIM

            After watching alternative investments lag the stock market for seven years, many institutional investors have been rethinking their exposure to the asset class. A new study from PGIM reveals how sweeping generalities about alternative investments mask important differences in their risk and return characteristics and shows that some alternative strategies still offer investors a compelling mix of benefits.

          • The Five Myths Holding Back Plan Sponsors

            Published by Prudential

            Current trends show that plan sponsors across market sectors, geographies and plan sizes are increasingly interested in de-risking their defined benefit pension plans. Despite this heightened interest, some sponsors remain hesitant to implement de-risking solutions. Contributing to the headwinds are five marketplace misconceptions, or myths, that preclude plan sponsors from reducing the risk in their plans. This paper provides clarity on those five myths, and can help expand the range of risk reduction measures plan sponsors are willing to evaluate and employ.

          • Turning Negative Into Nothing: An Explanation of “Adjusted Factor-Based Performance Attribution”

            Published by Axioma

            Factor attribution sits at the heart of understanding the returns of a portfolio and assessing whether a manager has invested in a manner consistent with his value proposition. In this paper, we will step back and look at factor-based attribution from first principles, as well as describe a methodology that will help correct some of the underlying issues that may arise and produce misleading results.

          • More than Just a Second Risk Number: Understanding and using statistical risk models

            Published by Axioma

            Although fundamental factor risk models are more commonly used and understood by portfolio managers, statistical factor risk models provide an important alternative and adaptable view on risk. In times of unusual market movements and trends that are not well modelled or captured by traditional fundamental factors, statistical risk models can be leveraged to identify these unexpected sources of risk. This paper describes how a combination of fundamental and statistical factor risk models can be exploited in any investment process.

          • Market changes captured by annual Russell indexes reconstitution

            Published by FTSE Russell

            During the Russell indexes reconstitution event, the indexes are rebalanced to ensure that market changes that occurred in the preceding year are captured. This process involves reconfiguring the breakpoints between large, mid and small cap both in the US and globally as well as determining where each company lies along the investment styles spectrum. This year’s reconstitution marked a shrinking US market, with the total market cap of the Russell 3000 Index down by roughly 5% since last year’s rebalance. Globally, market size is down by roughly 10% since last year’s reconstitution, with the Russell Global Index now representing $55.6 trillion in total market cap compared to last year’s size of $61.5 trillion.

          • The Three Pillars of Exceptional Service Delivery

            Pillar III: Consultation and Commitment

            Published by Prudential

            This paper is the third in a series of white papers that closely examine the “Three Pillars of Exceptional Service Delivery” in a pension risk transfer agreement. As this white paper describes, executing a pension risk transfer transaction can be a multifaceted and meticulous undertaking. Partnering with an insurer that delivers a consultative, partnership-driven approach and is fully committed to exceptional customer service is vital to transaction success. Without question, the new benchmark in pension risk transfer is exceptional service delivery. This involves engaging plan sponsors and retirees before, during and after the transaction is complete. It also demands a profound awareness of the challenges facing plan sponsors and retirees today, and addresses those challenges to the customers’ complete satisfaction.

          • Rising interest rates: Weighing risk for TDF retirees

            Published by Vanguard

            In this research paper Vanguard's Matt Brancato, Scott Donaldson, and David Pakula discuss how a higher interest rate environment might impact investors who rely on target-date funds (TDFs) and other sources of income in retirement. While conventional wisdom suggests that rising rates are an unfavorable development for fixed income portfolios, including those in TDFs, the authors argue that a hike in interest rates can be a positive development for retirees, particularly if it coincides with economic growth.

          • US Listed Real Estate sectors during periods of rising rates: what history tells

            Published by FTSE Russell

            This 'Index Insights' from FTSE Russell looks at what happened to the US listed real estate market during the most recent three periods of increases in the Fed Funds rate, giving special attention to the performance of different real estate sub-sectors.

          • The FTSE China Onshore Bond Index Series

            Published by FTSE Russell

            China is now the world's largest economy (when measured by purchasing power parity (PPP)) and the largest trading nation2. The country's domestic currency bond market is the third-largest in the world, following the United States and Japan, and has been growing rapidly in recent years. The FTSE China Onshore Bond Index Series, launched in March 2015, offers investors a comprehensive set of benchmarks to measure the performance of the renminbi-denominated bond market. The index series includes fixed-rate and zero-coupon debt issued by the Chinese central government and policy banks.

          • FTSE Russell China Bond Research Report

            Published by FTSE Russell

            China opened its domestic bond markets in February 2016 to a wider range of international market participants to further liberalise the capital account and attract more foreign investment. This FTSE Russell report details recent perspectives on that market including performance of the FTSE Russell China Bond Indexes.

          • Russell Dividend Growth Index Series

            Published by FTSE Russell

            Interest among market participants is growing in "dividend growth" companies - those that pay increasing dividends over time.

            Based on an analysis of Russell U.S. index constituent data from 1987-2014, companies that regularly increased their dividend payments over a period of ten years or more returned a year-on-year average of 13.9%, as opposed to the year-on-year average 10.1% returns of companies that paid dividends but did not increase them. This paper introduces the Russell Dividend Growth Index Series, which includes U.S. stocks that have succeeded in increasing their dividend payments over a period of ten years or more.

          • Russell 2000 Reconstitution Effects Revisited

            Published by FTSE Russell

            The costs to investors of passive investing and the relative merits of transparent index reconstitution rules are important investment management topics and subjects of perennial interest to researchers and investors alike. This is particularly true regarding the Russell 2000 Index, the preeminent benchmark index for the US small capitalization equity market. This paper updates prior research on the impact of index reconstitution on the performance of the Russell 2000 Index and reviews related work.

          • The Three Pillars Of Exceptional Service Delivery

            Pillar II: Transaction And Transition

            Published by Prudential

            This paper is the second in a series exploring the “Three Pillars of Exceptional Service Delivery” in a pension risk transfer agreement. Once solely focused on the financial aspects of such transactions, plan sponsors now seek insurers who are retirement experts that devote time, attention and resources to the retiree experience.

            Authored by David Casto, Head of Service Delivery for Prudential Retirement, the paper examines how exceptional service delivery includes the ability to shed a purely operational lens and instead create a consultative relationship that results in a distinctively positive and holistic experience. The new standard in pension risk transfer, exceptional service delivery occurs before, during and after the transition, requiring a deep understanding of what plan sponsors and retirees are concerned about and experiencing.

          • Multi-factor Investing: Practical Considerations for Portfolio Managers


            Published by Axioma

            Factor-based and smart beta products have become a growing trend as investors look for ways to quantitatively expose their portfolios to certain historically successful investment themes while reducing the volatility that comes from betting on individual securities.

            The factor investing trend spawned multi-factor investment products as investors recognized that certain factors may underperform in certain market conditions and combining one or more of them can potentially limit the portfolio’s downside risk. Axioma offers its unique insights on what portfolio managers should consider when thinking about multi-factor products.

          • Stress Testing the Impact of Brexit on Bonds, Equities and Other Assets


            Published by Axioma

            How might investors be affected if the United Kingdom leaves the European Union? Here we explain how an investor may wish to distinguish between the immediate implications and long-term structural consequences of the event. We review other partially relevant historical events for guidance. Obviously, significant comparable political turning points are somewhat rare in contemporary financial markets, so finding historical precedence to assist in modeling the likely consequences for asset prices is difficult.

          • The Three Pillars Of Exceptional Service Delivery

            Pillar I: Retiree Communication and Education

            Published by Prudential

            This paper is the first in a series that explores the “Three Pillars of Exceptional Service Delivery” in a pension risk transfer agreement. Pension risk transfer was long seen as a purely financial transaction, but plan sponsors now realize an insurer’s service capabilities are just as important as its financial strength and capacity.

            As the new benchmark in pension risk transfer, exceptional service delivery requires a keen awareness of the challenges plan sponsors and retirees face—and the ability to address those challenges head-on. Authored by David Casto, Prudential’s Head of Service Delivery, the paper explores the value of providing sponsors and retirees with the information and support they need to make sound decisions and achieve peace of mind through every stage of a transaction.

          • Smart beta: 2016 global survey findings from asset owners

            Published by FTSE Russell

            FTSE Russell has published the results of its third annual survey of global institutional asset owners’ attitudes toward, understanding of and implementation of smart beta indexing. Each year, they have recruited equity decision makers from across a broad spectrum of AUM tiers and at a variety of stages in their evaluation of smart beta.

            And each year, participation by global asset owners has increased, with over 250 asset owners responding in 2016. Respondents are drawn from North America (49%), Europe (33%), Asia Pacific (13%) and Other regions (4%) and have estimated total AUM of more than $2 trillion. This is a summary of those results, for the full report-click on link.

          • Guaranteed Lifetime Income and the Importance of Plan Design

            Published by Prudential

            As the percentage of workers with defined benefit plans declines, many continue to lose a critical element of their retirement security: guaranteed lifetime income. In the quest for the best ways to address this and other challenges within defined contribution plans, Prudential Retirement has conducted a study of plan participant outcomes based on client adoption of a default investment that includes a guaranteed lifetime income solution.

            Our recent findings show that incorporating an in-plan guaranteed lifetime income solution within a plan's default investment can—when combined with auto-enrollment and auto-escalation—lead to American workers adopting even more beneficial behaviors with regard to plan participation, contribution rates and diversification.

          • Retirement: From the mind of the TDF investor

            Edward Dinucci, William Lee Norton, Michael Pan, and John Croke

            Published by Vanguard

            In this third of three brief papers, Vanguard experts present key findings from Vanguard's target-date fund investor survey, which was designed to uncover expectations and overall understanding of TDF characteristics and risks. Our analysis of the results focuses on investor's product comprehension, risk tolerance, and anticipated uses of their retirement savings.

          • Small Cap Perspectives: Russell 2000 Index Quarterly Analysis – The Gold Rush

            Market Recap Commentary – First Quarter 2016

            Published by FTSE Russell

            A 1848 the publication The Californian announced the discovery of gold at Sutter’s Mill. Two months later, the paper shutdown because its entire staff had left to prospect for gold. Two years on, the population of San Francisco had swelled from 1,000 residents to more than 20,000 and 150 years later to Q1 2016, another gold rush of sorts appeared to be underway.

            A flight to more traditional assets, following sharp declines for US equity markets during the first half of Q1, pushed the price of gold up as flows into gold-related products rose. Within capitalization categories, the Russell 2000 Index (small) and the Russell Microcap Index, experienced the most significant of the declines. Through February 11 the Russell 2000 Index was down almost 16% for the year. In glittering contrast, gold was up 17.5% over the same time period!

          • Combining Factors

            Published by FTSE Russell

            There are different ways of combining factors. A simple approach is to average stock weights across a number of single factor indexes – a composite index approach. An alternative approach to combining factors in order to achieve exposure to multiple factors within an index is to “tilt” the starting index repeatedly, each time towards one of the desired factors. Read this paper to get insight into what works best and why.

          • Getting Real Exposure:
            Implementing a Real Asset Strategy

            Published by QMA

            Real assets have found a place in the strategic asset allocation mix of most institutional investors and can play multiple roles in a diversified portfolio—including total return potential, diversification from low correlations, and inflation sensitivity. These benefits vary across the sub-asset classes, and it’s important for investors to gain a better understanding of the benefits and risk profiles of each when building the components of an overall real assets strategy.

            Adding real assets as a complement to traditional asset classes requires a well-defined investment objective, as well as a clear plan for implementation, including the size of the real assets allocation within the overall portfolio, the mix of real assets exposures, and the vehicles by which these exposures will be delivered—whether they be sourced directly, through a diversified liquid fund of real assets, or some combination of the two.

            Investors can choose to build their own real assets portfolio through a combination of direct exposures—such as direct real estate or natural resources ownership. While this approach has its merits, it requires considerable expertise and staff to manage. Liquid real assets can provide more efficient implementation for a wider range of institutional investors. Allocating to such a strategy offers greater liquidity, improved diversification, and a single fee structure. These funds also provide even the most sophisticated real assets investors new ways to complement private real asset strategies they may have had in place for decades.

          • Russell 2000 Reconstitution Effects Revisited

            Published by FTSE Russell

            The costs to investors of passive investing and the relative merits of transparent index reconstitution rules are important investment management topics and subjects of perennial interest to researchers and investors alike. This is particularly true regarding the Russell 2000 Index, the preeminent benchmark index for the U.S. small capitalization equity market. This paper from FTSE Russell updates prior research on the impact of index reconstitution on the performance of the Russell 2000 Index and reviews related work.

          • ESG - Road Blocks or the Road to Integration?

            Published by FTSE Russell

            There is a growing trend, particularly amongst larger asset owners, to consider ESG factors within core investment processes. The level of sophistication varies between markets and institutions, but the momentum is clear. This seven-page study from FTSE Russell explores some of the perceived obstacles to applying an ESG framework to the stock selection process, and sets out practical ways of achieving a successful integration.

          • Multifactor Indexes: The Power of Tilting

            Published by FTSE Russell

            In recent years, institutional investors have become increasingly convinced of the benefits of factor investing, facilitated by the creation of a variety of indexes, each focusing on a specific risk factor. The creation of these new indexes has allowed investors to access factor exposure efficiently and at low cost. However, as with any investment strategy, the return from a single-factor index will vary over time, often following different patterns.
            This paper from FTSE Russell examines alternative processes for building multifactor indexes, in order to benefit from a diversified exposure to the various source of factor return.

          • Achieving Controlled and Meaningful Factor Exposure via Factor Indexes

            Published by FTSE Russell

            A factor index has the objective of providing controlled and meaningful exposure to the factor (or factors) of interest using a transparent and consistent methodology.
            Factor indexes can serve both as benchmarks and as the basis for index-replicating financial products. As a result, index designers also need to consider levels of index capacity, diversification and turnover.
            There is a trade-off between some of these characteristics: for example, maximizing the factor exposure of the index would likely lead to excessive concentration in a few stocks; and maintaining high levels of factor exposure through more frequent index reviews has implications for index turnover.
            This ‘Index Insights’, the third in a series of four from FTSE Russell on factors and alternatively weighted indexes, looks at how an index can be designed to provide controlled exposure to a factor.

          • Alternatively Weighted and Factor Indexes

            Categorization of smart beta

            Published by FTSE Russell

            ISmart beta is a term that covers a wide range of systematic, index-based investment strategies in the equity markets and, increasingly, in other asset classes. Smart beta indexes depart from the standard index construction methodology of weighting constituents by their market value (capitalisation).
            FTSE Russell distinguishes two types of indexes:

            • Factor indexes, designed to reflect the performance of factor risk premia in a transparent, rules-based and replicable format;
            • Alternatively weighted indexes, designed to achieve specific index level objectives such as greater levels of diversification or lower levels of volatility.

            This ‘Index Insights’, the second in a series of four from FTSE Russell on factors and alternatively weighted indexes, explores the differences between alternatively weighted and factor indexes.

          • Factors and Factor Exposures

            The rise of interest in factors

            Published by FTSE Russell

            Interest in factors is on the rise amongst investors. Consulting firm PWC1 recently forecast a tripling of the assets under management in index-based investment strategies worldwide between 2012 and 2020, and suggested that factor investing would be a key part of this trend. According to PWC:
            “The growth of passive strategies will...be fueled by new innovations in this space, such as factor investing...factor investing will ‘cross over’ from the realm of active managers, through highly sophisticated institutional passive investors, and into the mass-market retail space”.
            This ‘Index Insights’, the first in a series of four from FTSE Russell on factors and alternatively weighted indexes, defines what factors are and how factor exposure is measured.

          • Stronger Banks Weather a Challenging Environment. Thoughts and Bonds TM : Macro Views from the Janus Fundamental Fixed Income Team

            Published by Janus Capital Group

            Some of the recent financial market turbulence has been concentrated in financials, especially European banks. Given the important role these institutions play in allocating capital, their health – or perceived health – is a matter of importance for both the economy and investors. Despite the recent volatility, the Janus Capital Fundamental Fixed Income team sees some encouraging developments with regard to the sector’s growth prospects and capital position. This report explores the latest Thoughts and Bonds TM for the quarter ahead.

          • Emerging Markets: Time to stay invested or pull back?

            Published by QMA

            The recent turmoil in global financial markets was caused by a number of market events and systemic factors. QMA’s latest Insights paper attempts to separate what we already knew, what we didn’t know, and what we should know about Emerging Markets economies and their outlook, as well as some insights on how quantitative strategies can effectively capture return dynamics in the current market environment. We don’t think it’s time to give up on Emerging Markets. Yes, they have changed, they have evolved, and they have slowed down, but they remain the engine of growth for the world. To be able to capture this long term potential, investors should look through the noise created by negative retail flows and sensational reports in the news that see contagion and crises around every corner.