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".
Are markets efficient? Recent research suggests not, finding media impacts information dissemination, and mispricing explains the value premium.
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.
In times of lower growth and falling interest rates, volatility strategies can be used to produce a steady stream of income to complement other sources of 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.
Portfolio managers don't have perfect vision. Better prediction accuracy results in more concentrated portfolios, higher turnover, higher position limits and higher returns and information ratios.
Artificial Intelligence, Machine Learning (ML), and Deep Learning represent an important expansion of the quantitative investors' analytical toolkit, providing substantial new flexibility.
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.
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.
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.
In late May 2019, Australian 10-year bonds were at 1.64% per annum. A month on and they’d dipped under 1.3% per annum. This is quite a move.
Two recent research papers explore the impact of investors' increasing appetite for environmentally responsible investments.
Portfolio construction is multi-faceted and should be iterative. Five key components provide a framework to design quality portfolios to meet clients' objectives.
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.
Investment grade debt has become much riskier, default rates will rise when interest rates begin the inevitable normalisation, and credit spreads are too low – it’s a bubble waiting to burst. Actually, no.
The definition of the "alternative investment" asset class is one of the most debated and important. What is your philosophy?
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.
The Investment Management Research Workshop 2019 showcased contemporary academic research that is relevant to investment management.
A recent paper looks at the impact of passive investing on market stability; a second describes shades of alpha for active and index investing. A third reviews luck and portfolio rebalancing outcomes.
Retirement village contracts have their pros and cons. The contracts are really a type of complex insurance or financial product. Comparison shopping is very difficult but possible.
Rather than worrying about whether portfolios are actively or passively managed, investors should focus on strategic asset allocation. The tired active-passive investment debate has run its course.
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.
Compared to physical risks, investors have a much greater ability to incorporate carbon and related pollution regulations into investment decisions.
The idea that imputation refunds are an unfair, expensive rort is gaining acceptance in the community. The Labor proposal is not fair, nor much of a revenue earner. It's not even nuts. It is just wrong.
Climate change is affecting countries, companies, assets and communities in a variety of ways. Good stewardship of client assets requires investors to consider these issues.
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.
Human beliefs, biases and behaviours are central to the behaviour of financial markets, causing financial and economic instability to persist.
The former head of the Australian Stock Exchange recommends that dividend imputation should be abolished?
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.
Cyclical volatility in earnings has increased dramatically since the 1980s. The recent Apple profit warning is an excellent case in point.