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Socially Responsible Investing: What to expect?
We investigate a new dataset of internationally diverse socially responsible investing (SRI) exposures represented by rigorous rules-based and transparent SRI indices. We test the hypothesis whether the SRI screening process adds value to an investor's portfolio and find that return differences between SRI screened and conventional portfolios are not statistically significant. Our results also demonstrate that investors can expect higher risk-adjusted return levels vis-a-vis conventional portfolios.
How the UK leaving the EU may impact your portfolio?
The UK referendum on EU on June 23 is one of the most important votes on Europe in many a year. Whatever the outcome, it could have far-reaching consequences for the future of the European Union. For investors, it represents a potential significant shock to markets.
Low-Volatility Investing: Empirical evidence of the defensive properties of low volatility enhanced portfolios
The first white paper has been presented at the EDHEC-Risk-Days 2016 in London and examines the empirical evidence of the defensive properties of low volatility enhanced equity portfolios. Applying and extending the framework presented by Campbell and Vuolteenaho (2003), we analyze through-the-cycle as well as market stress periods to provide an insight into which portfolio construction technique is the most beneficial in enhancing portfolio returns on a risk-adjusted basis.
An insightful study by the Zurich University of Applied Sciences (ZHAW) - European ETFs and the quality of their index replication.
Exchange Traded Funds (ETFs) have become a virtually indispensable component of a modern client portfolio. While traditional investment funds have dominated client portfolios for decades, ETFs have become increasingly popular over the last ten years. The growing importance of ETFs is due to their transparent, simple investment objective; to generate market returns by tracking a reference index.
Do all European ETFs share the same desirable characteristics? What are the most important criteria for determining how well ETFs replicate their indices?
This is one of the areas analyzed by the study, which has produced a number of interesting and insightful findings.
Thomas Merz, lecturer at the ZHAW School of Management and LAW and Head of UBS ETF Europe: Working Paper No. 4 "Tracking Risk of ETF Revisited"