Best ETF Research Paper in Europe – 2016
Awarded to the published paper from 2016 that has most increased our understanding of how ETFs and/or index based investments affect investor outcomes, whether in portfolios, markets or broader economic context.
- Active Funds vs. Benchmark: Performance Comparison – Marlene Hassine, Lyxor
As one nomination paper said: “In the myriad of choices for investors, one question gets more airtime than any other: Should I buy active or passive? This new report, launched in mid 2016, frames the question in a new light: Active, passive or smart beta?” http://www.lyxoretf.co.uk/pdfDocuments/715779_Lyxor ETF_active vs passive - Print_repro.pdf
- Constructing Low Volatility Strategies – MSCI
This paper considers the anomaly that low volatility strategies have outperformed the market as a whole over the long haul, and considers both rules based and optimization based approaches to constructing low volatility portfolios. https://www.msci.com/www/blog-posts/constructing-low-volatility/0287321433
- Fallen Angels: The Investment Opportunity – Andrew Clare, Stephen Thomas and Nick Motson
This article took an in depth academic look at the return profile of so-called fallen angel bonds, which have become a hot topic in ETFs as investors look for strong positive returns in a challenging fixed income environment.
ETF Ticker of the Year for Europe – 2016
- Amundi Index S&P 500 DR UCITS ETF Cap (S500)
- iShares Ageing Population UCITS (AGED)
- iShares Fallen Angels High Yield Corporate Bond UCITS (WING)
- iShares Healthcare Innovation UCITS (HEAL)
- UBS Factor MSCI USA Low Volatility UCITS hedged to GBP A Dis (ULOV)