ARX Series
New and Notable
Editor's selection
Overview
ARX receives up to 100 new submissions each month: academic papers, industry research, white papers, market analysis and others. Here is a curated selection of new and noteworthy posts from our institutional and individual contributors.
To browse or search ARX's repository of more than 4,000 posts, select "Research" in the upper left-hand corner of the page.
Approaches to Benchmarking Listed Infrastructure
Investors could be attracted to the long-term, low-risk, and inflation-linked profile that can come with infrastructure assets, and may find that it is an alternative asset class that could provide new sources of return and diversification of risk.
9 April 2021 | S&P Dow Jones Indices: Tianyin Cheng, Claire Yi, Izzy Wang
The Long Waves in Commodities: Three Centuries of Evidence
Our proprietary wave index, based on three centuries of historical commodity price data meticulously collated by our predecessors, shows that a period of elevated and intense commodity price movements lies ahead.
25 May 2021 | BOCOM International: Hao Hong, CFA
大宗商品的长波：来自三个世纪的证据
如果我们对于过去几百年长波结构的观察是正确的，那么未来一段时期的商品价格将会在剧烈的震荡中上升。
25 May 2021 | BOCOM International: 洪灝，CFA
WGBI Inclusion Confirms China’s Arrival on Global Bond Stage
In this paper, we assess the impact following the recent announcement that Chinese government bonds will join the FTSE Russell World Government Bond Index over a period of 36 months. We consider both private sector and official holdings.
21 May 2021 | FTSE Russell: Robin Marshall Director, Zhaoyi Yang
Employee Happiness Predicts Higher Stock Prices: Do Health and Safety Play a Part in Your Investment Strategies?
ESG analysis that used NLP processing discovered that companies with safe and happy employees outperform their peers in the public markets. How can ESG analysis of workplace sentiment help investors seeking outperformance?
28 April 2021 | Richard Peterson
Achieving Scale in Active Ownership and Engagement through Index Investing
This paper explores the evolution of ESG engagement and passive investing, especially the role of index providers in marrying passive investing and scalable engagement.
17 May 2021 | FTSE Russell: David Harris, Arne Staal
A Matter of Degrees: Aligning ESG Strategies with the Paris Agreement
Having already witnessed some of the consequences of climate change around the world, more and more investors are now factoring ESG into their investment decisions. Enter the S&P PACT™ Indices.
9 April 2021 | S&P Dow Jones Indices: Jaspreet Duhra
“30·60目标”下如何完善中国 绿色债券市场？
How to Improve and Perfect Chinese Green-bonds Market to Reach the "30·60" Target
2020年，中国提出了力争于2030年前达到二氧化碳排放峰值、2060年前实现碳中和的长期目标，彰显了中国积极应对气候变化、走绿色低碳发展的坚定决心。本文就全球绿色债券市场整体概况及国内绿色债券市场运行情况进行了梳理，同时就当前国内绿色债券市场存在的问题进行分析，并针对相关问题提出建议，以进一步完善中国绿色债券市场。
25 February 2021 | 金融市场研究
Style Bias and Active Performance
Style bias plays a major role in explaining active managers' outperformance across the capitalization spectrum.
10 March 2021 | S&P Dow Jones Indices: Craig Lazzara, Anu Ganti
Hidden in Plain Sight: U.S. Equities beyond the S&P 500
Mid- and small-cap U.S. equities represent a significant piece of the global market, but they are overlooked by many international investors.
13 April 2021 | S&P Dow Jones Indices: Tim Edwards, Sherifa Issifu
SPIVA Japan Scorecard: Year-End 2020
The SPIVA Japan Scorecard reports on the performance of actively managed Japanese mutual funds against their respective benchmark indices over 1-, 3-, 5-, and 10-year investment horizons.
26 April 2021 | S&P Dow Jones Indices
Singapore Is at the Heart of Asia’s Green Energy Revolution
Hydrogen is emerging as a key element of the clean energy transition, with governments around the world enacting green policies as part of their COVID-19 recovery efforts.
30 April 2021 | Eurasia Group, SGX Research
Proposed Revisions of Japan’s Corporate Governance Code: Consultation Response by CFA Society Japan
On 7 April 2021, the Financial Services Agency and Tokyo Stock Exchange issued a proposal to revise Japan’s Corporate Governance Code. CFA Society Japan conducted a survey of members and market practitioners to solicit their views on the proposal.
6 May 2021 | CFA Society Japan Advocacy Committee
WEBINAR: Financial Performance of Impact Investments (Part 2 of the Impact Investing webinar series)
Impact investing aims to generate measurable environmental or social outcomes alongside financial return. Impact objectives must be considered together with financial objectives, risk, liquidity and resource capacity. When making investment decisions, impact investors seek to balance these factors, and optimize the way in which they deploy capital, in order to maximize their desired outcomes.
27 May 2021 | CFA Institute | Video: 1 hr 3 min.
WEBINAR: ESG Integration in Sovereign Bonds (Part 4 of the webinar series "ESG in Credit")
As appetite for ESG investments has grown, so has the question of if and how ESG factors may affect the analysis of sovereign debt issues. Risks from climate change, including the associated policy responses, have been under particular focus. For example, countries that are major fossil fuel exporters are most exposed to climate change transition risk, giving rise to stranded assets and significant uncertainties, with knock-on implications for debt servicing and repayment capabilities.
25 May 2021 | CFA Institute, Fitch Ratings | Video: 1 hr 18 min.
SGX's Consultation on Proposed Listing Framework for SPACs: Response by CFA Institute and CFA Society Singapore
CFA Institute and CFA Society Singapore submit a response to the consultation paper issued by Singapore Exchange Regulation on a proposed listing framework for special purpose acquisition companies (SPACs).
28 April 2021 | CFA Institute, CFA Society Singapore
Food Delivery Industry in India
Food delivery holds great promise with much value still to be captured. The existing business model of companies might make headlines because of the growth of new users or revenue, but profitability often eludes them.
6 May 2021 | Gaurav Arora
AUDIO: The Emergence of Central Bank Digital Currencies
How do central bank digital currencies (CBDCs) differ from traditional money and cryptocurrencies? Why are CBDCs appealing to policymakers? Will CBDCs loosen the pre-eminent role of the US dollar in the global FX market?
11 April 2021 | City National Bank: Alvin Tan, David Atkinson | Audio: 18 min.
A Guide to S&P Decrement Indices
Decrement indices aim to provide a solution to the challenges faced by structured product issuers to design attractive products.
17 MArch 2021 | S&P Dow Jones Indices: Tianyin Cheng, Izzy Wang
Taiwan's Competence and Sustainability in the EV Industry | 从Model 3看台湾电动车行业竞争力与永续发展
This report discusses Taiwan’s advantages in the electric vehicles sector as well as challenges it faces, and makes comparisons with other Asian economies where appropriate, using Tesla Model 3 to examine Taiwan’s role as supplier.
过去的一年可谓是电动车行业之元年，尽管全球疫情仍然严峻，经济增长不及预期，电动车却仍独占鳌头，不仅 2020 年全球电动汽车总销量大涨 43%，突破 300 万大关，甚至全球多地车市电动和燃油汽车销量出现涨跌互现之景，英国去年汽车销量跌至 28 年来最低水平，而纯电动汽车销量却增至接近前年三倍，尽管台湾市场容量较小，去年特斯拉全车系在台挂牌数也达 5746 辆，比 2019 年 3136 辆几近翻番，并以超过 90.35%的市占领跑台湾电动汽车市场。
26 April 2021 | Mioying Financial Technology (MioTech)
VIDEO: Exploring Equal Weight's Impact on Risk/Return
S&P DJI's Hamish Preston and Tim Edwards explore what's driving the mega-cap trend, multi-decade highs in S&P 500 concentration, and potential applications for the S&P 500 Equal Weight Index.
8 April 2021 | S&P Dow Jones Indices | Video: 12 min.
Non-Bank Financial Institutions and Modarabas in Pakistan
Non-Bank Financial Institutions and Modarabas are essential for the economic development of Pakistan. Small and medium enterprises significantly rely on NBFIs for borrowing, with conventional financial institutions meeting only 15-20% of demand.
1 April 2021 | The Pakistan Credit Rating Agency Limited: Saniya Tauseef, Asad Ahmed
Path to Carbon Net-Zero: China's Electric Vehicle Industry | 通向零碳之路：中国造车新势力
This paper takes a look at China’s electric vehicles industry, in particular the flourishing start-ups NIO, Xpeng and LI Auto, in the context of ESG issues.
本报告从 ESG 的视角观察中国的新能源汽车 (NEV) 行业，尤其是以蔚来、小鹏和理想 为代表的新势力造车企业。本文结合政府政策、金融市场和能源行业等不同方面来分 析新势力造车的前景，并探讨它们如何能通过贯彻 ESG 实践为自己创造更多机遇。
26 April 2021 | Mioying Financial Technology (MioTech)
Pakistan's Mutual Fund Industry
Pakistan’s mutual funds industry has grown at a quick pace as the economy gradually recovers from the impact of Covid-19. The industry’s AUM reached PKR 995 bn (USD 6.5 bn) in December 2020, as a result of high returns and new investments.
1 April 2021 | The Pakistan Credit Rating Agency Limited: Saniya Tauseef, Insia Raza
Sukuk Bond Market-Making at the London Stock Exchange, 2011-20
We examine the evolution and the explosive growth rate of sukuk on the London Stock Exchange, and then provide directions on future research aimed at sukuk pricing and market-making.
26 April 2021 | Mohamed Ariff, Calvin W. H. Cheong
Commodities Index Innovation: The Next 30 Years
The next 30 years could bring disruptive changes to commodities. In this paper, we look at trends that could become ascendant over the next 30 years of commodities index innovation.
12 April 2021 | S&P Dow Jones Indices: Fiona Boal, Jim Wiederhold
SREITs & Property Trusts Chartbook: April 2021
Singapore has 43 REITs and property trusts with a combined value of S$110 billion, representing c.12% of Singapore’s listed stocks, with the average dividend yield of 5.8%, the 10-year annualised total return of 8.9%, and the gearing ratio of 37.2%.
13 April 2021 | SGX Research: Emelia Tan
SPIVA India Scorecard: Year-End 2020
The SPIVA India Scorecard compares the performance of actively managed Indian mutual funds with their respective benchmark indices over 1-, 3-, 5-, and 10-year investment horizons.
8 April 2021 | S&P Dow Jones Indices: Akash Jain, Arpit Gupta
SGX Asia Currencies and Commodities Insights
CNH has traded well against most currencies, and flows remain strong. Therefore, recent USD/CNH rise will likely be temporary; Industrial commodity prices consolidating at high levels; Iron ore prices have bounced by 6% over the past two weeks.
12 April 2021 | SGX Research
Looking at Indonesia Pension System: Opportunities for Continuous Transformations
We highlight Indonesia’s position in the 2020 Mercer CFA Institute Global Pension Index, and issue recommendations for continuous transformation of the country’s pension system, in pursuit of the Mercer CFA Institute "Ideal Retirement System".
22 April 2021 | CFA Society Indonesia: Siti Rakhmawati, CFA
The Determinants of Positive Cases and Death from COVID-19 at Different Quantiles
The study aims to investigate factors that might significantly contribute to the number of positive cases and death from pandemic COVID19 in the most affected countries in the world. A quantile regression method is adopted on cross-section data.
22 April 2021 | Jarita Duasa, Siti Fatimah Mohamed Noor
ASEAN Credibility at Risk
The sudden change of the political regime in Myanmar on 1st Feb is reshaping the political and economic landscape of Southeast Asia. Can it erode the credibility and disrupt the stability of the Southeast Asian economic bloc?
1 April 2021 | CAPER
ESG – The Next Big Investment Theme in India
Investing is all about anticipating future events and pricing future risks and opportunities in today’s investment decisions. ESG risk and opportunities must be incorporated in the valuation of securities.
12 April 2021 | Labanya Prakash Jena
Structural Change in Bond Markets: The Role of ETFs
Bond market structure changed in recent years as regulatory change, concern about bank capital adequacy, and the GFC combined to move bond markets towards exchanges and electronic venues. ETFs facilitated the developments, helping underlying liquidity.
20 April 2021 | FTSE Russell: Robin Marshall
Review of LGFVs’ Risk Characteristics Based on Non-standard Product Defaults
China’s local government financing vehicles (LGFVs) have reported more cases of non-standard product defaults since 2018 after the government strengthened the regulatory efforts and oversight over the sector’s financing.
20 April 2021 | Pengyuan International: Brian Lam
ESG Scores and Beyond: Contribution of themes to ESG Ratings - a statistical assessment
With the attention of investors being increasingly focused on sustainability issues, awareness of ESG ratings characteristics is essential, as it enables a better understanding of their meaning. This paper answers “What themes matter most in ESG?"
20 April 2021 | FTSE Russell: Kevin Ratsimiveh, Ruben Haalebos
Property Firms’ ABS Accounting Treatment and its Impact
Regulatory oversight of the Chinese property industry has been considerably tightened since 2016, with traditional financing channels of these companies coming under more strict controls.
20 April 2021 | Pengyuan International: Winnie Guo
Why Are Chinese Stocks Underperforming in a Recovery? / 为什么经济跑赢，股票跑输？
The return spread of high-yield vs. investment-grade bonds is now at one of its highest levels of the past decade, and appears to be rolling over. It hints at the market’s waning risk appetite.
垃圾债与投资级债券的回报率差目前处于过去10年的最高水平附近，而且似乎在继续收窄。这暗示着市场的风险偏好正在减弱。
15 April 2021 | BOCOM International, Hao HONG
WEBINAR: Japan Reinventing Itself as a Global Financial Hub: Challenges and Policy Choices
Despite its many advantages, Japan trails other financial centres, especially with regards to attracting foreign talent and playing a regional role. This webinar, organized by CFA Society Japan and FSA explores how Japan can revitalize its financial sector and expand its role as an international financial hub.
26 April 2021 | CFA Society Japan, Financial Services Agency | Video: 1 hr 5 min.
WEBINAR: ESG Financing Requirements in Tropical Forestry
Although the forestry industry is an important contributor to the activities of countless sectors, it contributes to unsustainable pressure on the world’s forests, particularly in tropical regions. What kind of sustainability requirements do financial institutions place on forestry sector companies to address ESG risk and how do they follow up on compliance and progress?
21 April 2021 | FA Institute, CFA Society Singapore, ZSL SPOTT | Video: 1 hr 5 min.
WEBINAR: Challenging the Investment Industry
An International Women's Day webinar presented by CFA Society Malaysia. Distinguished female leaders in Malaysia's financial industry speak about their roles as leaders in their respective organizations, the challenges they encountered in their careers, and what habits are needed for a successful career.
14 April 2021 | CFA Society Malaysia | Video: 1 hr 12 min.
WEBINAR: Big Data for ESG Investing
Haishan Wu, vice general manager of AI department at Webank, shares insights on how Webank leverages AI to generate proprietary real-time data for ESG investing from a variety of sources, including satellite images, media reporting, and social media sentiment.
15 April 2021 | CFA Institute, Institute of Financial Technologists of Asia | Video: 1 hr 17 min.
WEBINAR: Economic and Market Impacts of Climate Change
A presentation of the CFA Institute report “Climate Change Analysis in the Investment Process”, followed by a discussion of economic and market implications of climate change, carbon pricing, and recent developments in carbon markets.
2 February 2021 | CFA Institute | Video: 59 min.
WEBINAR: Venture Capital: What Does It Hold for the Global Capital Market of Tomorrow?
Venture Capital (VC) has been an important part the modern capital markets. The success or failure of a growing private company has often been gauged by the size of their round B or C funding. Has the traditional route of private company relying on organic growth and bank loans disappeared?
13 April 2021 | CFA Institute | Video: 60 min.
A Foreign Investor's Guide to Sri Lanka: The Pearl of the Indian Ocean
In this introductory paper we look to provide some high-level insights for foreign investors on Sri Lanka’s economy, political anatomy and capital markets.
19 April 2021 | Aran Nagendra, Kassapa Manathunga
WEBINAR: Future of Investing in Disruptive Innovation - Leadership Dialogue
The extraordinary AUM growth and outperformance of ARK Invest in recent times has created a huge following in Asia. Catherine Wood, Founder CEO and CIO of ARK Invest, joins Ms. Yimei Li, CFA, member of the CFA Institute Board of Governors and CEO of China Asset Management Co. Ltd., a top asset manager in China, for a conversation about disruptive innovation.
25 March 2021 | CFA Institute, MSCI, Wind | Video: 59 min.
The Emerging Asia Pacific Capital Markets: Challenges and Opportunities
Asia-Pacific emerging and frontier markets continue to evolve rapidly. With contributions from authors based in 11 local markets, this publication offers insights about regulatory developments, market structure, and financial history in the region.
29 March 2021 | CFA Institute Research Foundation: Larry Cao, CFA, Luis Garcia-Feijóo, CFA, CIPM
China Market Strategy: Value Striking Back
Sticking to growth means extrapolating linearly the growth during the pandemic. Such thinking shows a true lack of imagination, which is essential to long-term growth investing. And such thinking is nothing but downright pessimism.
29 March 2021 | BOCOM International: Hao HONG, CFA
价值王者归来进行时
短期内，继续成长型投资实际上是在线性外推新冠疫情期间的增长形势。因此，这样的思考才是真正缺乏想象力的，而想象力则是长期成长型投资所必需的因素。说白了，这种思考方法简直就是悲观主义，因为它预测新冠疫情期间的增长模式将永远持续下去。
29 March 2021 | BOCOM International: 洪灝，CFA
Indexing Liquid Alternatives
Alternative investment strategies, including absolute return long-short, risk parity, global macro, or relative value, have historically been used only by the most sophisticated market participants, such as institutional investors and hedge funds.
1 March 2021 | S&P Dow Jones Indices: Tianyin Cheng, Phillip Brzenk, Rupert Watts, Fiona Boal
The Belt and Road Initiative in ASEAN
China’s Belt and Road Initiative (BRI) is enhancing development prospects and creating new business opportunities in ASEAN, one of the world’s most dynamic regions. A research project by HKUST IEMS highlighting Indonesia, Malaysia, Myanmar, Vietnam, Thailand, and the Philippines.
29 March 2021 | HKUST Institute for Emerging Market Studies (IEMS): Albert Park, Angela Tritto, Dini Sejko
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Anticipating the Climate Change Risks for Sovereign Bonds
The deep economic changes necessary to achieve the Paris Agreement objectives require a consistent reallocation of resources. This gives the financial sector a key role in tackling climate change. Risk analysis is important in that perspective.
28 March 2021 | FTSE Russell: Nicolas Lancesseur, Thomas Lorans
WEBINAR: Future of Sustainability in Investment Management - War for ESG Talents?
In late 2020, CFA Institute published a report titled “Future of Sustainability in Investment Management” in which we explored the influences and drivers fuelling the sustainability trend and set out enablers and actions for investment firms, including the need to better integrate sustainability data and to develop sustainability expertise to meet client expectations with innovative products. Rhodri Preece, CFA, senior head of industry research at CFA Institute, shares key highlights and takeaways from the study.
23 March 2021 | CFA Institute, Hong Kong Green Finance Association | Video: 61 min.
Combining Equity and Fixed Income Listed Infrastructure: Approaches and Outcomes
In this paper, we demonstrate that combining listed equity and fixed income infrastructure in a single portfolio improves its risk and return profile compared to a pure infrastructure fixed income or equity portfolio.
28 March 2021 | FTSE Russell: Sergiy Lesyk
VIDEO: Understanding How India Can Develop A Robust ETF Market
What can India learn from developed markets where we see ETF sponsors establishing a footprint early on?
8 February 2021 | S&P Dow Jones Indices | Video: 51 min.
SOE Reform in China: Implications for Policymakers and Investors
A rules-based and transparent approach to managing state-owned enterprises is in China's economic interest and will provide clarity for foreign investors.
15 March 2021 | Seafarer Capital Partners, LLC: Nicholas Borst
FTSE Russell China Bond Research Report: March 2021
Interest in China’s sovereign debt market surged in 2020; foreign holdings of China’s treasury debt surged to a record 1.88 trillion RMB (as of end Dec); defaults spiked with Chinese firms cancelling or delaying issuance of roughly 200 bonds.
28 March 2021 | FTSE Russell
WEBINAR: Index ETFs, Options, and Futures - Myths vs. Facts
As technology becomes an integral part of more and more aspects of our lives, our understanding of what constitutes a "technology company" is continuing to broaden and evolve. In this webinar, we talk about the formation and features of the Hang Seng TECH Index, the differences between active and passive investing strategies and how specific theme ETFs would possibly outperform active funds.
28 January 2021 | CFA Institute, CFA Society Hong Kong | Video: 59 min.
VIDEO: Accessing the Expanding S&P 500 ESG Index Ecosystem
The S&P 500 ESG Index has redefined mainstream access to ESG, providing global investors with new tools designed to help them align objectives with their ESG values. This expanding ESG ecosystem is redefining the sustainable core.
21 February 2021 | S&P Dow Jones Indices: Mona Naqvi, Scott Ladner, Peter Horacek, and Bob Smith | Video: 58 min.
Exploring Techniques in Multi-Factor Index Construction
In multi-factor equity index construction, the decision-making and practical implementation can be complex and challenging. See the range of portfolio construction choices available to those seeking rank-based, multi-factor approaches.
26 February 2021 | S&P Dow Jones Indices: Akash Jain, Lalit Ponnala, Andrew Innes
Asia Currencies and Commodities Insights
SGX Asia Currencies Insights - USD strength and local equity weakness sees the yuan relinquish some recent gains, INR remains resilient to higher oil thanks to a much-improved BBoP.
10 March 2021 | SGX Research
A Tale of Two Cities: Implications from Singapore and Hong Kong SAR for Asian Emerging Markets
Hong Kong SAR and Singapore have increasingly divergent economic models, although they continue to share some common features such as significant FDI inflows.
16 March 2021 | HKUST Institute for Emerging Market Studies (IEMS): David Skilling
VIDEO: The Effect of Global Commodity Prices on Bangladesh Market Cycles
This report and video discussion explore the long term relationship between global commodity prices, bond yields and equity market performance in Bangladesh.
21 January 2021 | EDGE Research & Consulting Limited | Video: 45 min.
US-China Competition Will Expand into the Green Tech Space
Following Donald Trump’s exit, the US-China relationship will not be as overtly confrontational as it had been, but this year will see a bilateral rivalry as intense as that of last year – and pushing into new areas.
8 March 2021 | Eurasia Group
VIDEO: ESG - A Powerful Conversation You May Not Be Having With Your Clients
If an investment is destroying the planet we live on, or the society we are part of, is it really an investment at all? Are investment decisions only about a potential financial return, or perhaps about our own survival?
8 February 2021 | S&P Dow Jones Indices | Video: 45 min.
About the Author(s)
Director: Scott Lee
Content manager, Editor: Piotr Zembrowski, CFA
Coordinator: Natalie Yiu