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 5,000 posts, select "Research" in the main menu.
What Might the Next Cycle Look Like?
MFS Chief Economist Erik Weisman suspects the next business cycle will feature a bit more growth, a little more inflation and Main Street beating out Wall Street.
19 January 2023 | Erik S. Weisman, Ph.D.; MFS Investment Management
Key Themes Influencing the Macroeconomic and Capital Markets Environment in 2023
As we enter 2023, there are several key themes that will likely influence the macroeconomic and capital markets environment.
19 January 2023 | Jonathan W. Hubbard, CFA; Benoit Anne; Jamie Coleman; MFS Investment Management
Sectoral Decarbonization Pathway (SDP) Whitepaper on Automotive
The SDP is a series of proprietary decarbonization pathway research that Robeco has developed to inform investors of the risks and challenges faced by companies and sectors across the global economy as they decarbonize their operations and products.
17 January 2023 | Gabriella Abderhalden, CFA; Giacomo Melegati; Robeco
ESG and Climate Trends to Watch for 2023
Discover what trends may shape the environment for investors and companies in the year ahead.
16 January 2023 | MSCI
From A Fishing Village to the IFC Mall - Introduction of “Rise from Crises”
This volume comprises essays from 30 investment practitioners and tells the tales of how Hong Kong has risen from crises in the past 30 years.
12 January 2023 | Alvin Ho, CFA; CFA Society Hong Kong
Market Maps: Performance Insights (USD Edition) January 2023
Global stock and bond markets endured one of the worst years in decades in 2022 as central banks launched increasingly aggressive measures to bring rampant (partly war-fueled) inflation under control.
09 January 2023 | FTSE Russell
Dhaka Stock Exchange (DSE) Performance in 2022
Bangladesh Market, in line with other markets, remained sluggish during the year riding on macro-economic pressures like high inflation and pressure on currency. DSEX lost 8.1% in 2022, followed by a year of 25.1% return.
08 January 2023 | BRAC EPL RESEARCH
An Index Approach to World Cup Success
The World Cup sees many who attempt to identify trends or patterns that may contribute to a nation’s success. This blog follows competing countries included in the S&P Global BMI and S&P Frontier BMI.
08 December 2022 | Sean Freer; S&P Dow Jones Indices
Hang Seng Indexes Company 2022 ESG Annual Review
The Hong Kong Quality Assurance Agency sustainability performance assessment released in 2022 reveals that the Hong Kong universe has continued to deliver a better ESG performance compared with the A-shares universe.
23 December 2022 | Hang Seng Indexes Company Limited
Stewardship at MFS in Practice: ExxonMobil Case Study
This MFS Case Study illustrates our collaborative, security-specific approach to proxy voting.
22 December 2022 | MFS Investment Management
Looking Ahead to 2023: End and Beginning of an Earnings Cycle
Rob Almeida reflects on 2022 and breaks down key market and investment considerations, including the rate of inflation, recession risks and earnings expectations for the year ahead.
22 December 2022 | Robert M. Almeida, Jr.; MFS Investment Management
How do indices really work?
In this episode of FTSE Russell Convenes, David Sol, Head of Policy at FTSE Russell, discusses how the methodologies underpinning indices are assessed and evolve, and what indices investors are most interested in today.
17 October 2022 | David Sol; FTSE Russell Convenes
Chinese QE? / 中国量宽？
The PBoC continues to ease. Interest rate/RRR cuts should be expected, property will be supported, leverage will rise. While not QE, it is not petty. There is plenty of liquidity in the system, a cyclical recovery is underway.
中国央行继续宽松。降息降准可期，房地产继续托底，宏观杠杆率将上升。虽然这并非量宽，却也不是隔靴搔痒。中国M2的增速超过了信贷增长。金融系统中流动性充沛，但借贷意愿不高。宽松政策见效仍有待时日。公共与私人部门，国内与国外需求，上游与下游价差的三大维度的分歧体现于M2和新增信贷，人民币走势以及CPI和PPI的差值，并显示经济周期正逐步触底修复。
19 December 2022 | Hao Hong, CFA; GROW Investment Group
China Offshore Bond Market 2023 Outlook: Safety Comes First Amid Challenging Environment
The tightened policies on the use of proceeds from LIDC bond issuance, ongoing defaults and credit events of Chinese property developers and higher offshore financing costs due to the sharp Fed rate hike led to the decline in the new issuance amount.
13 December 2022 | Toni Ho; Ben Yau; Dr. Stan Ho; Lianhe Global
WEBINAR: ESG Competencies for Your Career - Key Updates to the Certificate in ESG Investing
In our latest webinar “ESG Competencies for Your Career”, speakers shared their perspectives on ESG talent development. Key updates to our Certificate in ESG Investing, which aims to meet the growing demand for ESG talent from financial institutions, were also provided.
9 December 2022 | CFA Institute | Video: 63 mins.
Fun and Games - Investment Gamification and Implications on Capital Markets
Gamification and other behavioral techniques have many positive uses, such as education, but these methods could also be exploited to promote excessive trading. This paper analyzes the main issues and recommends reforms to prevent abuses.
16 November 2022 | CFA Institute
A Look into the iBoxx Asian Bond Fund (ABF) Pan-Asia
In this paper, we will highlight some of the key developments and provide insights into notable changes in the index methodology since its launch in 2005.
01 November 2022 | Kangwei Yang; Wilson Mak; Jessica Tan; S&P Dow Jones Indices
Insider Trading and Corporate Board Reforms International Evidence
Using board reforms in 41 countries and regions, we find that corporate governance deters insider trading and its profits in our difference-in-difference models. Board reforms mitigate information asymmetry, which helps curb insider trading.
08 December 2022 | Dien-Giau Bui; Harvey Nguyen; Mia Hang Pham
Portfolio Allocation and Business Connections: Evidence from Mutual Fund Misconduct
I find that mutual fund families significantly increase investment portfolio weights on their pension clients after mutual fund advisory misconduct is revealed to public.
07 December 2022 | Jaejin Lee
Near Is Dear: Remoteness, Soft Information, and Stock Returns
We document a causal link between geographic remoteness and lack of soft news in the market. The remoteness of a firm's headquarter and its information implications impact the stock return behaviors.
07 December 2022 | Chao Gao
ESG Materiality and Responsible Investments: Evidence from Real Estate Investment Trusts
This study indicates that material/immaterial ESG negatively/positively predict expected returns. Investors in REITs are found to be more rational than environmental driven, and they price assets regardless of ESG materiality.
07 December 2022 | Kwok Yuen Fan; Jianfu Shen; Eddie Chi-man Hui; Louis T.W. Cheng
Earnings Extrapolation and Predictable Stock Market Returns
The U.S. stock market’s return during the first month of a quarter correlates strongly with returns in future months, but the correlation is negative if the future month is the first month of a quarter, and positive if it is not.
07 December 2022 | Hongye Guo
Market Maps: Performance Insights (USD Edition) December 2022
Stock and bond markets powered in November as central banks signaled greater willingness for slowing the pace of future tightening moves amid weakening economic data. Financials and industrials outpaced energy and defensives.
05 December 2022 | FTSE Russell
Farewell, COVID-0 / 再见了，“清零”
The direction is clear - China gradually reopens. Cases will surge, confusion will grow, and market will be volatile. Stay positive. The longer-term trend of the Dollar begins to turn down, boding well for risk assets.
中国将逐步重启的方向是清晰可鉴的。新冠病例将激增，纷乱如影随形，而市场震波也将若隐若现。我们咬定青山，持正不挠。美元的长期趋势开始拐头下行，风险资产也将时来运转。恒指似乎正从史诗级的低迷中虎口脱险。随着中国重启过程中网购、外卖需求增加，互联网平台公司应继续跑赢。
05 December 2022 | Hao Hong, CFA; GROW Investment Group
China’s Civil Aviation Recovery not Affirmed, but Government Support Remain / 中国民航业恢复态势不确定，政府仍大力支持国有航空公司
While we believe air traffic in China should return to recovery mode soon as restrictions on domestic and international travel gradually ease, any changes in the outbreak could pose a risk to traffic flows, as has happened over the past two years.
展望未来，国际航协仍然预测全球航空客运量整体有望在 2024 年恢复到疫情前水平，而中国则需要等到 2025 年。尽管我们认为随着中国逐渐放松国内和国外出行限制，中国航空客运量很快将恢复常态，但正如过去两年那样，疫情形势发生的任何变化都将对旅客运输量带来风险。
2 December 2022 | Vincent Ha, CFA; Pengyuan
Risk-Neutral Pricing of SLBs and Step-down Structures
This paper analyses Sustainability-Linked Bonds (SLBs) through a risk-neutral present value scenario approach.
29 October 2022 | Ulf Erlandsson; Stephanie Mielnik; Josephine Richardson; Cedric Rimaud; Anthropocene Fixed Income Institute
Ecosystem Growth: Japanese ESG Indices and Passive Investing Blossom
This analysis looks at the attribution analysis of the FTSE Blossom Japan Index Series compared to the broad-market index, and the growth of index-linked SGX FTSE Blossom Japan Index Futures.
30 November 2022 | Atsuhito Mori; Ken Hirose; FTSE Russell (Written in collaboration with SGX)
Meeting Investors’ Needs in Emerging Markets Fixed Income
In this paper we profile our capabilities in emerging markets (EM) fixed income and demonstrate how our core EM bond index family is built using principles of accessibility, modularity and flexibility, forming a robust basis for ESG or smart overlays
28 November 2022 | Lydia Hamill; FTSE Russell
Assessing the Impact of 20 Years of SPIVA
“SPIVA” stands for “S&P Indices Versus Active,” and it is the name for a regular series of research reports that compare the performances of actively managed funds to appropriate benchmarks.
26 October 2022 | Tim Edwards, PhD; Craig Lazzara, CFA; S&P Dow Jones Indices
Which Chinese Local Governments Face Greater Fiscal Stress in 2022? / 2022年哪些地方政府财政压力更大？
Which Chinese Local Governments Face Greater Fiscal Stress in 2022?
截⾄ 2022 年 9 ⽉末，全国地⽅政府债务余额 347124 亿元，债务余额同⽐增 20.6%，相较上年末余额增 13.9%。预计本年度地⽅政府债务率整体进⼀步攀升，但积极财政政策驱动下的各省直接债务增速不⼀。
28 November 2022 | Jameson Zuo; Pengyuan
ESG in Action: Linde
This case study highlights the importance of adopting a system-wide perspective on corporate emissions data accounting and reporting while pursuing workable solutions in the journey to net zero.
25 November 2022 | MFS Investment Management
Endowment Funds in Pakistan
Endowment Funds in Pakistan have not fared well. A comparison with leading US endowments offers key lessons.
25 November 2022 | Laraib Mohib, CFA
WEBINAR: Guidelines for ESG Integration in Equity Analysis and Presentation in Analyst Research Reports
Co-hosted by the Securities and Exchange Commission Thailand and CFA Society Thailand, the webinar covered various approaches to ESG integration and their respective case studies.
24 November 2022 | CFA Institute; CFA Society Thailand; Securities and Exchange Commission Thailand | Video: 2hrs 1min.
The Pension Time Bomb
Han Yik, Former Head of Institutional Investors at the World Economic Forum, discusses what he calls the Pension Time Bomb. What options are there to combat this, and why are governments hesitating to take action?
23 November 2022 | Han Yik; FTSE Russell
Survey Report: The Direct Indexing Opportunity 2022
Direct indexing is set to accelerate within the industry. Our findings provide insight into opportunities, obstacles and priorities for wealth management firms.
22 November 2022 | FTSE Russell
Natural Language Processing in Banking: Current Uses
This article will introduce a branch of Artificial Intelligence called Natural Language Processing (NLP) and dive into two popular NLP models, Word2vec and Bag of Words. Subsequently, the article will examine NLP applications in banking use cases like document search, investment analysis, and customer service. Finally, we will end with some key takeaways for banking executives.
22 November 2022 | Kevin Pereira; Rajendra Shroff
China Outlook 2023: A Cyclical Recovery / 展望2023：或跃在渊
China finetuning “COVID-Zero”; flames of “Dual Circulation” turning blue. Economic cycle near turning point, but arduous property recovery likely. Shanghai ~3-3,500, Hang Seng ~16-23,000, with bouts of volatility.
中国重新审视防疫政策；“双循环”的驱动双轮力有不逮。经济短周期接近拐点，但房地产复苏非一日之功。上证曲折交易于约3-3,500点，恒指约16-23,000点。渐进倾向于周期性、成长型板块相对于防御性、价值型板块。
21 November 2022 | Hao Hong, CFA; GROW Investment Group
Artificial Intelligence in Investment Management — Elevating Client Relationship and Return
AI stands to provide benefits to investment management. But how to identify their values and deploy them more effectively? Find out from ARX Business Model Investment Series now!
21 November 2022 | Kevin Pereira; Rajendra Shroff
The COP27 Net Zero Atlas
Our Cop27 Net Zero Atlas builds on our inaugural report to systematically assess climate targets and mitigation strategies of G20 countries'. It also includes analysis of physical climate risk exposure for each G20 country for the first time.
14 November 2022 | Nicolas Lancesseur; Florian Gallo; Edmund Bourne; Claire Hugo; Jaakko Kooroshy; FTSE Russell
Understanding ESG Investing in Asia-Pacific Emerging Markets
In collaboration with CFA Societies in APAC, ARX organized a closed-door roundtable among industry practitioners to examine ESG investing in emerging markets. Key topics included latest trends, regulations, and technological innovations.
November 2022 | CFA Institute
WEBINAR: Modern Slavery Webinar Series - Tackling Modern Slavery through Investment Management
Presenting to you the Modern Slavery Webinar Series co-organized by CFA Societies Australia and Monash University! This second webinar focuses on how investors can identify and address exposure to modern slavery risks in portfolios.
10 November 2022 | CFA Societies Australia; Monash University; RIAA | Video: 59 mins.
Measuring Board Gender Diversity across S&P ESG Indices
According to numerous studies, having a gender-diverse board is a key indicator of good corporate governance. Using the S&P Global SFDR dataset we examine this metric in the context of the S&P ESG Indices.
19 October 2022 | Kieran Trevor; S&P Dow Jones Indices
Equity Factor Behaviour During the Q3 Market Turmoil
Hear actionable insights on global and regional equity factor performances, sector exposures, rotation drivers and macro sensitivities in the third quarter.
08 November 2022 | FTSE Russell
Finding the Narrative in Markets
In this episode, Richard Peterson, Chief Executive Officer of MarketPsych, discusses how narratives impact financial markets, how our minds influence investment decisions and which types of biases influence professional investors.
07 November 2022 | FTSE Russell
A Trillion-Dollar Tweet / 万亿一推
Last week’s epic rally started around the nadir seen in first COVID outbreak in 2020. But we’re so much better now. Both US and Chinese growth assets victim to a growth slump. Hong Kong short covering.
上周史诗级反弹行情的点位水平肇始于2020年2月新冠疫情首次爆发时的市场最低点。疫情以来，美国的财政和货币政策轮番上阵，而中国则坚持动态清零方针。到如今，中国市场回到了疫情最初的原点，美股也将亦步亦趋。中美成长型资产都深受增长放缓的拖累。被称为“下一个中国”的越南也未能独善其身。港股轧空。但HIBOR的飙升预示着未来数月全球震波渐行渐近，源头很可能来自美国市场。
06 November 2022 | Hao Hong, CFA; GROW Investment Group
The Halloween Effect: Trick or Treat?
Autumn Fall-Crash Pattern - Elevated market volatility and black swan event risk proved scary to most investors as we marked the ominous Halloween festivity.
03 November 2022 | Ron William, CFTe, MSTA; Intensichi
Analyzing High Dividend Yield Strategies in Korea
In this paper, we will take a deep dive into the Korean dividend market and analyze how the Korean high dividend yield strategy has performed historically.
17 October 2022 | Jason Ye; Izzy Wang; S&P Dow Jones Indices
Why Having a Long-term View is Key
In this episode of FTSE Russell Convenes, Wayne Wicker, Chief Investment Officer at MissionSquare Retirement, discusses how to navigate through the current market environment and the key drivers to look out for in the next six to twelve months.
01 November 2022 | FTSE Russell
Fixed Income Indices: From Benchmark to Investment Solution
In this paper, we explore the key trends driving the growth of fixed income passive funds and ETFs.
01 November 2022 | FTSE Russell
Mai! Mai! Mai!
Hot money outflow is at its 2nd worst in history. But these are speculative weak hands. What is left is the strong hands with holding power. Foreign brokers in HK cutting stock positions, while the mainland counterparts holding still.
热钱外流历史次高。但那都是些投机性的市场弱手。大浪淘沙始见金，淘尽之后方见持重有力的市场强手。在港的外资券商正在减仓，而内资券商则咬定青山，按兵不动。港股 ETF 吸引着几乎规模空前的资金流入。尽管恒指还可能进一步下探，但值此非常时期，过度悲观的情绪早已于事无补，并开始与我们的逆向思维相左。
30 October 2022 | Hao Hong, CFA; GROW Investment Group
《投資在「通脹、加息、經濟放緩」時》 投資者教育講座
是次講座一眾嘉賓討論通脹及利率飆升對金融市場的影響，以及探討高通脹及加息周期的投資策略，並提醒參加者如何在動蕩的市場中避險。
13 October 2022 | CFA Institute; CFA Society Hong Kong; IFEC | Video: 1hr 17mins.
The Merge – A Milestone Event in the DeFi Universe
Ethereum went through “the merge” in September this year. What was it about? To learn more, download ARX Business Model Investment Series now!
31 October 2022 | Kenneth Kwong, CFA
A Critical Review of the Business Model Related Literature Universe
The study attempts to undertake a thorough analysis of the literature universe within the realm of business model related research.
31 October 2022 | Dr. Alan Lok, CFA
Tripod for Scaling-up Climate Finance: NDC, NFV, and ESG
Korea submitted the reinforced NDC last year. The realized path so far has been above the target path. The Korean NFV was established this year. The presentation looks at the potential of streaming private ESG investment to public climate finance.
26 October 2022 | Ick Jin, PhD, CFA, CIPM
REIT Watch - S-Reit ETFs continue to see inflows, doubling AUM in 2 years
The combined AUM of the 5 Reit ETFs listed on the SGX has doubled in 2 years, exceeding S$900m (Sep 2022), and representing over half the S$1.7b combined AUM of Reit ETFs in Asia-Pacific ex-Japan globally.
26 September 2022 | Emelia Tan; SGX
Independent Directors in Pakistan - Regulations & Practice
This publication is prepared with respect to independent directors currently serving on boards of various companies in Pakistan. It mainly focuses on their role, responsibility, diversity, selection, remuneration, representation, and board terms.
25 October 2022 | Mohammad Shoaib, CFA; Shahzad Saleem, CFA; CFA Society Pakistan; The Pakistan Credit Rating Agency
A Kaleidoscopic Perspective of the Belt and Road Initiative
Since 2013, China’s ‘‘Belt and Road Initiative’’ (BRI) has grown in number and become increasingly global in scope. Despite these trends, international business (IB) research on the BRI remains limited.
04 July 2022 | Jiatao Li; HKUST Institute for Emerging Market Studies (IEMS)
About the Author(s)
Senior Director: Scott Lee
Project Specialist: Natalie Yiu
Coordinator: Christy Leung