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Thematic Research

Capital Markets

Value investing as an investment strategy has existed for at least 100 years, likely longer...

Capital Markets

Portfolio Expected Performance and ESG Characteristics

At $2.77 trillion dollars and counting, ESG strategies have become an important growth opportunity for the premier asset...

Capital Markets

How Do Our CMA Forecasts Stack Up Against the Reality: A Decade’s Worth of Results

Envestnet’s Quantitative Research Group (QRG) issued its first set of capital markets assumptions (CMA) forecasts back in 2009.

Capital Markets

Factor Performance and the Market Cycle

In this study we have analyzed the performance of factor portfolios and their components throughout various market cycle sub-periods.

Capital Markets

Yields and Their Components

In this note I discuss the components of Treasury yields, most notably – the “bond risk premium” (BRP).

Capital Markets

Arithmetic, Geometric and Other Types of Averages

There are many types of averages used in the applied finance today.

Capital Markets

Capital Sigma: The Advisor Advantage

An ongoing debate among investment advisors and their clients centers on value: creating it, preserving it, and perpetuating it.

Capital Markets

Active vs. Passive Asset Management: A Revisit and Further Research

We have updated our Active vs. Passive Asset Management research and refreshed the findings of the prior version of the whitepaper to accomplish three goals.

Our Latest Research On Active Versus Passive Asset Management

As you are likely well aware, the debate regarding active versus passive investing has existed for a while.

Capital Markets

Expected Course of the Expected Equity Returns

Much has been said regarding the likely future direction of the equity market, which over the last half decade has defied all...

Factor Investing

Managing Volatility — A Little Planning Goes a Long Way

Recent market volatility has prompted many advisors to mount an aggressive stance against portfoliorisk.

Impact Investing

How and Why SRI Performance Differs from Conventional Strategies

Exploration of the Cross-Sectional Return Distributions of Socially Responsible Investment Funds

Portfolio Research

Portfolio Research

Capital Markets Assumptions and Asset Class Portfolios Update

The main theme that emerges from our updated 2023 CMA values is that the expected returns for equity and fixed income asset classes are broadly higher...

Portfolio Research

Capital Markets Assumptions

Capital markets assumptions are the expected returns, standard deviations, and correlation estimates that represent the long-term...

Portfolio Research

Asset Class Portfolio Update

More than half a century has passed since Markowitz (1952, 1959) introduced the Nobel Prize-winning theory of optimal portfolio allocation in...

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