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October 2018: Sustainable Investing Handbook: An investor’s guide by UBS and MSCI, with a foreword by PRI
The Sustainable Investing Handbook is the third joint publication by UBS Asset Management and MSCI. This publication aims to contribute to the debate around one of the most important investment trends of our age by helping investors gain a deeper understanding of the breath of the SI landscape and the issues it encompasses. Written into two parts, MSCI first examines the evolution of ESG investing in the passive space, particularly SI indices and benchmarks, followed by a closer look by UBS into the various capabilities within the SI space and overview of different solutions and approaches for investors to consider.
July 2016: 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.
June 2016: 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.
April 2016: 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.
September 2015 : Factor Investing Handbook: a new dimension in the asset allocation puzzle, by UBS AM and MSCI
In search of higher returns and greater risk diversification, institutional as well as private investors implement a wide range of investment strategies which aim to find the best possible solution to the afore-mentioned objective.
This second joint publication by UBS AM and MSCI serves as a guide to better understanding as well as facilitating a dialogue between asset owners and solutions providers such as UBS Asset Management. It aims to provide useful information on specific factor investing know-how and analysis, leading to better investment and risk management decisions.
March 2015: Tracking Risk of Exchange Traded Funds Revisited
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"