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Tag "white paper"

Labour market attractiveness in the EU

Labour market attractiveness in the EU

🕔16:36, 13.May 2018

EuroStat In this work we present a data product developed for the European Big Data Hackathon, a competition between 22 teams which took place in March 2017. This data product is divided in two parts: an exploration part, which is

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Assessing Nine Years of Cyber Security Vulnerabilities and Exploits

Assessing Nine Years of Cyber Security Vulnerabilities and Exploits

🕔16:36, 13.May 2018

2018 Security Threat Report  Finding the right words to describe the magnitude of cyber security today is like trying to define the size and splendor of the Grand Canyon to someone unfamiliar with the natural wonder of the world. News

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Marsh Internet of Everything:

Marsh Internet of Everything:

🕔16:36, 13.May 2018

Building Cyber Resilience in a Connected World The Internet of Things (IoT) is everywhere, ushering in a technological revolution at lightning speed. According to an Oliver Wyman report, between 50 billion and 100 billion devices are expected to be connected

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Behind the Data

Behind the Data

🕔16:36, 13.May 2018

While organizational analytics can yield powerful insights, they may also be a source of risk. Businesses are having a love affair with data analytics. The potential to unlock secrets hidden in the vast quantities of data generated daily makes the

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Sovereign bond-backed securities: a feasibility study

Sovereign bond-backed securities: a feasibility study

🕔15:29, 10.May 2018

In 2016, the General Board of the European Systemic Risk Board (ESRB) agreed that the pooling and tranching of cross-border portfolios of national sovereign bonds represents an interesting and attractive approach that could contribute to the ESRB’s objectives. On this

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Report on the Thematic Review on effective risk data aggregation and risk reporting

Report on the Thematic Review on effective risk data aggregation and risk reporting

🕔15:32, 8.May 2018

The ECB pays close attention to supervised entities’ broad data quality, risk data aggregation and risk reporting capabilities, which are deemed essential preconditions for proper risk governance and sound risk-based decision-making and necessitate state-of-the-art IT infrastructure. Indeed, these represent key

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The impact of the corporate sector purchase programme on corporate bond markets and the financing of euro area non-financial corporations

The impact of the corporate sector purchase programme on corporate bond markets and the financing of euro area non-financial corporations

🕔15:26, 8.May 2018

The CSPP forms part of the ECB’s asset purchase programme (APP). Its purpose is to ease financing conditions in the real economy. In broad terms, the CSPP consists of purchases by the Eurosystem of investment-grade euro-denominated bonds issued by non-bank

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Country Sustainability Analysis

Country Sustainability Analysis

🕔13:08, 3.May 2018

As investors searching for impact, the ideal would be to invest in green and social sovereign bonds where the types of projects to be financed are few countries have issued self-labelled green bonds and are not sufficient to create a

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Getting smart about beta

Getting smart about beta

🕔12:04, 2.May 2018

Due to its simplicity, market-cap weighting has long been a popular means of calculating the value of market indexes. But as an investment strategy, market-cap weighting has limitations — frequently resulting in outsized proportions of overvalued stocks and less-than-optimal exposure

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Indicators for the monitoring of central counterparties in the EU

Indicators for the monitoring of central counterparties in the EU

🕔15:36, 1.May 2018

Occasional Paper Series This ESRB Occasional Paper complements the publication of indicators on central counterparties (CCPs) in the ESRB's Risk Dashboard as part of its monitoring framework. It provides a methodological background to the development of the individual measures and

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A Review of Macroprudential Policy in the EU in 2017

A Review of Macroprudential Policy in the EU in 2017

🕔15:37, 25.Apr 2018

Most Member States took macroprudential action in 2017, though for the EU as a whole fewer measures were taken than in the previous review period. The decline was due to fewer reciprocating measures, as the ESRB did not recommend any

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From the horse’s mouth: surveying responses to stress by banks and insurers

From the horse’s mouth: surveying responses to stress by banks and insurers

🕔14:38, 23.Apr 2018

Occasional Paper Series No 15 / April 2018 Existing stress tests do not capture feedback loops between individual institutions and the financial system. To identify feedback loops, the European Systemic Risk Board has developed macroprudential surveys that ask banks and

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Smart Beta Multifactor Construction Methodology:

Smart Beta Multifactor Construction Methodology:

🕔09:02, 19.Apr 2018

Mixing versus Integrating  Equity factor premiums have been extensively researched and docu- mented. Due to rapid advancements in smart beta product offerings in recent years, exposure to premiums beyond the traditional market beta is now widely available at very low

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Low-Volatility investing: Standing out from the crowd

Low-Volatility investing: Standing out from the crowd

🕔09:02, 19.Apr 2018

Low-volatility strategies have grown notably popular in recent years, assuming many of the qualities of an investment bandwagon and prompting fears of a crowded trade. We argue that these fears remain unfulfilled and, perhaps more importantly, that even their realisation

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The Impact of the Global Economy on the S&P 500

The Impact of the Global Economy on the S&P 500

🕔09:02, 19.Apr 2018

In this paper, we examine the geographic revenue distribution of the S&P 500 and see what, if any, impact foreign economies and geographically driven market events may have on overall index performance. We examine a recent market event, the 2016

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The Impact of the Global Economy on the S&P 500

The Impact of the Global Economy on the S&P 500

🕔09:02, 19.Apr 2018

In this paper, we examine the geographic revenue distribution of the S&P 500 and see what, if any, impact foreign economies and geographically driven market events may have on overall index performance. We examine a recent market event, the 2016

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Alternative Investments: A primer for investment professionals

Alternative Investments: A primer for investment professionals

🕔13:02, 11.Apr 2018

This book provides an overview of alternative investments for an institutional asset allocator or overseer of a portfolio containing both traditional and alternative assets. The reader is assumed to have broad knowledge of investing in general and of traditional asset

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Street View

Street View

🕔13:02, 4.Apr 2018

Uncertainty can take on different forms. This Street View examines two main, separate types of uncertainty that appear to be relevant for asset allocators: macroeconomic and financial uncertainty. While the former mainly affects commodities, they both have significant implications for

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The portfolio currency-hedging decision, by objective and block by block

The portfolio currency-hedging decision, by objective and block by block

🕔15:04, 29.Mar 2018

Investors typically make currency-hedging decisions at the asset class rather than the portfolio level. The result can be an incomplete and even misleading perspective on the relationship between hedging strategy and portfolio objectives. We present a framework that puts the

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The glide path less traveled

The glide path less traveled

🕔06:18, 27.Mar 2018

A critical examination of assumptions, outcomes, and glide path specification This paper defines key assumptions, derived from empirical data, to deliver highly accurate and representative simulations of participant outcomes. The paper constructs an alternative glide path design that we believe

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Infrastructure and the economy

Infrastructure and the economy

🕔14:04, 22.Mar 2018

Infrastructure white paper series: Part 2 This series explores some of the key portfolio considerations of investing into infrastructure. Our first paper focused on the growing area of infrastructure debt. This paper, the second in our series, takes a closer

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All Eyes on Productivity

All Eyes on Productivity

🕔08:06, 21.Mar 2018

The recent market correction and sharp jump in volatility has brought a renewed focus on inflation. Investors continue to see strong fundamentals in both macro level and firm level data, but are beginning to take a closer look at the

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Sell-Side Financial Analysts and the CFA® Program

Sell-Side Financial Analysts and the CFA® Program

🕔13:02, 14.Mar 2018

In modern financial markets, analyst research is essential to the production and dissemination of information as well as to the price discovery process, and its importance only increases as time goes by. The Chartered Financial Analyst (CFA) designation, awarded by

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The Logistics of e-commerce

The Logistics of e-commerce

🕔13:00, 10.Mar 2018

Improving returns on delivery      

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The Rationale for trends investing

The Rationale for trends investing

🕔01:03, 7.Mar 2018 Read Full Article
Foundations of ESG Investing

Foundations of ESG Investing

🕔01:02, 7.Mar 2018

Many researchers have studied the relationship between companies with strong environmental, social and governance (ESG) characteristics and corporate financial performance. A major challenge has been to show that positive correlations — when produced — provide explanations for the behavior. As

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Factor Investing

Factor Investing

🕔01:02, 7.Mar 2018

The performance of individual securities and asset classes can largely be explained by their systematic exposure to quantifiable investment themes. These “factors” include value, momentum, quality, and size, among others. The rapidly growing space of factor investing is based on

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Multi-factor indexes: The power of tilting

Multi-factor indexes: The power of tilting

🕔01:02, 7.Mar 2018

It wasn’t too long ago that the concept of factors in investing was the exclusive province of professors of finance and a few active “quant” managers. Mainstream portfolio construction was focused primarily on asset allocation. Within equities, that meant achieving

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Measuring physical climate risk in equity portfolios

Measuring physical climate risk in equity portfolios

🕔15:02, 28.Feb 2018

This white paper provides some of the tools that investors need to more accurately monitor and address the physical effects of climate change on investment portfolios. The objective is to satisfy institutional investors’ growing desire for more climate resilient portfolios

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Multi-period portfolio optimization with alpha decay

Multi-period portfolio optimization with alpha decay

🕔13:02, 28.Feb 2018

The traditional Markowitz MVO approach is based on a singleperiod model. Single period models do not utilize any data or decisions beyond the rebalancing time horizon with the result that their policies are myopic in nature. For long-term investors, multiperiod

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Understanding Liquidity Risk

Understanding Liquidity Risk

🕔04:07, 22.Feb 2018

Liquidity risk is inherent in all investment products, however its multifaceted nature can make it difficult to grasp as a concept. In simple terms, liquidity of investments refers to the ease with which one can sell assets they are invested

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Eaton Vance Emerging Markets Local Income (EMLI) strategy: Casting the widest net in emerging-markets debt.

Eaton Vance Emerging Markets Local Income (EMLI) strategy: Casting the widest net in emerging-markets debt.

🕔13:02, 21.Feb 2018

The great majority of EM local currency strategies are confined largely to the 18 countries in the JP Morgan Government Bond Index – Emerging Markets (GBIEM) Global Diversified benchmark, which concentrates risk among the 10 largest issuers. Investors were drawn

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ETF use within multi factor portfolios: pure versus benchmarked exposure.

ETF use within multi factor portfolios: pure versus benchmarked exposure.

🕔12:08, 15.Feb 2018

In this paper we analyze the problem of multi-factor investing from an active fund-of-fund selector perspective, or investors who seek to achieve a diversified exposure to different factors using liquid, transparent and cost-efficient ETFs. We compare Ossiam’s European ETF with

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Sexual and gender-based violence as an emerging investment risk

Sexual and gender-based violence as an emerging investment risk

🕔08:26, 14.Feb 2018

“Time’s Up”… #MeToo … allegations of abusive behavior by corporate chiefs … the groundswell of public attention to sexual and gender-based violence (SGBV) is revealing how pervasive it is at all levels of society, in all industries. From an investor’s

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Volatility

Volatility

🕔14:05, 8.Feb 2018

Here we review recent market movements and changes in the volatility landscape. Key observations: (1) The VIX had its largest one-day move on record. (2) The VIX is now pricing the equivalent of a 2% S&P 500 move up /

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Achieving the United Nations’ Sustainable Development Goals

Achieving the United Nations’ Sustainable Development Goals

🕔13:03, 26.Jan 2018

UBS White Paper for the World Economic Forum Annual Meeting 2018 Private wealth managers need to work more closely with multilateral development banks (MDB). Financial firms need to work together to standardize sustainable and impact investing conventions, including targeting market

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New Risk Metrics for a New World

New Risk Metrics for a New World

🕔19:02, 25.Jan 2018

Introduction Following the Financial Crisis of 2007-09, there was an explosion of investment products designed to not track the market. Hundreds of hedge funds and liquid alternatives were unveiled post-crisis as investors clamored for investments with low correlations to markets

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Inflation moving across the red carpet

Inflation moving across the red carpet

🕔13:02, 24.Jan 2018

Equity factors generated mixed performance over the quarter, with the momentum factor continuing to perform well while value and size once again struggled. • Merger arbitrage delivered steady returns, but our broader set of event-driven factors continued to suffer. •

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The indexation wave

The indexation wave

🕔14:21, 11.Jan 2018

Rarely has the cost of investing come under such scrutiny. And rarely with such sustained intensity. With most active equity portfolios having failed to beat their benchmarks since the 2008 debt crisis, regulators and investment consultants seem to have lost

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Foundations of ESG Investing

Foundations of ESG Investing

🕔14:25, 10.Jan 2018

Many researchers have studied the relationship between companies with strong environmental, social and governance (ESG) characteristics and corporate financial performance. A major challenge has been to show that positive correlations — when produced — provide explanations for the behavior. As

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Searching for Yield Abroad: Risk-Taking through Foreign Investment in U.S. Bonds

Searching for Yield Abroad: Risk-Taking through Foreign Investment in U.S. Bonds

🕔12:00, 10.Jan 2018

The risk-taking effects of low interest rates, now prevailing in many advanced countries, (“search-for-yield”) are hard to analyze due to both a paucity of data and challenges in identification. Unique, security-level data on portfolio investment into the United States allow

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Foundations of ESG Investing

Foundations of ESG Investing

🕔15:02, 27.Dec 2017

Many researchers have studied the relationship between companies with strong environmental, social and governance (ESG) characteristics and corporate financial performance. A major challenge has been to show that positive correlations — when produced — provide explanations for the behavior. As

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Millennials: Work, Life And Satisfaction

Millennials: Work, Life And Satisfaction

🕔07:43, 8.Dec 2017

Shortly before the stroke of midnight on December 31 this year, the world’s last millennial will turn 18. Within a few years, as more and more millennials complete their formal education and take up jobs, they will come to make

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Toward Dynamic Stress Tests

Toward Dynamic Stress Tests

🕔11:02, 7.Dec 2017

In an earlier paper about best practices for stress testing market risk factors, we discussed different types of stress tests.1 One of these types, called transitive or predictive, is a correlated stress test. Here a set of core (explicit) factors

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Measure what matters

Measure what matters

🕔14:17, 17.Nov 2017

Expanding the scope of intrinsic value to include ESG The key to successful active equity investing is having the ability to accurately determine a stock’s intrinsic value in order to generate excess returns by taking advantage of market mispricing. UBS

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Sustainable smart beta investing for institutional investors

Sustainable smart beta investing for institutional investors

🕔11:02, 16.Nov 2017

Recently, a major shift has been observed among asset owners who once took a “tokenistic” approach toward environmental, social and governance (ESG) and are now looking to integrate it into core investment strategies. The pensions industry considers ESG themes, including

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The covariance matrix between real assets

The covariance matrix between real assets

🕔11:02, 14.Nov 2017

For assets that are sparsely traded, the time-variance of prices is of limited interest. It is more meaningful to compute price variance across assets and use that as an indicator of investment risk. On a large database of funds invested

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Can You Time Managed Futures?

Can You Time Managed Futures?

🕔13:02, 24.Oct 2017

Managed futures is an investment strategy that historically tends to perform best in a macroeconomic environment with rising volatility and sustained bullish or bearish price trends across multiple asset classes. We believe in today’s environment investors and advisors should contemplate

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Ten things you should know about factor investing

Ten things you should know about factor investing

🕔15:02, 6.Sep 2017

Foreword Factor-based investing has gained considerable traction over the past decade. Concepts such as ‘factor premiums’ or ‘smart beta’ have become popular buzzwords, and now appear frequently in mainstream financial media. Prominent institutional investors have also publicly embraced allocation to

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The Good Thing About Climate Change: Opportunities

The Good Thing About Climate Change: Opportunities

🕔14:13, 3.Sep 2017

Executive Summary As climate change has become increasingly problematic for the world, the investment community is starting to pay attention to the investment risks it poses. In this paper, however, we focus on the exciting opportunities in companies involved in

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