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Analyst Insight – Australian Equities Core Managers
Key Points We note that Australian equities core managers have delivered better risk-adjusted returns during Covid- 19 and performed better compared to peers. We find that investors may allocate a high proportion of portfolios to core managers as they look to capture...
1Q Cross Asset Review Paper
In this month’s Cross Asset Review, we assess the past performance of various asset classes and draw implications for multi asset investors. During the month of January, Risk-on trade continued despite spikes in fear gauges. The worst performing asset classes were...
Long Short Manager Diligence
Source: iStock This article explore how the GameStop shorting squeeze frenzy is forcing many long-short managers to re-think about their strategy. While this herding behaviour from ‘main street’ investors is a real risk for long-short funds, it remains to be seen...
Truth or Tale: Does Climate Change Reduce Economic Growth?
Source: iStock This blog piece reiterates how studies around climate change and how they do not negatively affect a nation's GDP are largely inconsistent, particularly when considering the variations among developed and developing nations economies and climate...
Climate Change Action: How do we invest in it and what do we need to keep in mind?
Source: iStock This blog piece discusses the urgency required for climate change action, as well as how investors can contribute to climate impact through mechanisms of selective capital allocation and shareholder engagement. It explains the frameworks that should be...
How We Should Be Thinking About Carbon Risks in Portfolios
Source: ABC News (2019) Carbon risk data can be useful in highlighting a fund's ESG position, though it is also not wholly encompassing of a fund's carbon impact. This blog post explores the importance of taking a 360-degree perspective on carbon risk analysis in...
Learned Lessons on ESG Investing from the Current Boohoo Slavery Scandal
There has been a strong chorus for sustainable investing in the financial sector, with more than 120 billion Euros poured into across 360 ESG-focused funds in Europe last year, according to data provider Morningstar. However, ESG-focused funds have since highlighted...
Australian Equity Factor Performance During Stressed Markets
The aim of this research paper is to present our analysis of the key drivers (factors) of the Australian share market over the medium-to-long term, as well as during stressed market periods of the current Global Virus Crisis (GVC), the Global Financial Crisis (GFC),...
A Guide to Portfolio Stress Testing.
Using our collective experience across investment management, investment research, data science and risk analytics, we have pulled together this guide for members of the investment community wanting to better understand Stress Testing. The guide is designed to help...
Australian Equity Factor Performance During Stressed Markets
In this edition of our paper, we present the performance of key factors during the current Global Virus Crisis (GVC) and place this in context of previous stressed market periods. Foresight factor premium analysis focuses on the returns attached to generally accepted,...
Latest update on Foresight COVID-19 model – trends and projections for major economies
In this edition of our blog we report the latest figures from Foresight Covid-19 model whichassess the growth trajectories of confirmed, active, fatal and recoveredCOVID-19 cases for global economies. Our results show significant dispersion in doubling rates across...
Asset markets price Covid-19 induced recession fast, fear gauge spikes and remains elevated
In this edition of the Cross Asset Review, we assess the past performance of various asset classes and draw implications for multi asset investors. During Q1, investors sold down their growth exposure as concerns about COVID-19 induced global recession took hold....
Australian Equity Factor Performance Report – Feb 2020
In the latest factor premium update from Foresight, learn how the various structural drivers of Australian shares have performed. Foresight factor premiums show the returns attached to generally accepted, systematic drivers of stock returns. Foresight computes...
Global pandemic fears lead to growth asset correction whilst safe haven assets outperform
In this month’s Cross Asset Review, we assess the past performance of various asset classes and draw implications for multi asset investors. During the month of February, investors sold down their growth exposure as concerns about virus-induced global recession took...
GLOBAL FIXED INCOME REPORT
REVIEW OF ASSET ALLOCATION TRENDS, ASSET CLASS AND MANAGER PERFORMANCE Key Points: Institutional allocation to GFI has been rising in recent times. GFI sectors and asset class has done very well over year and decade on the back of falling rates around the world. In...
Bond proxies and Gold outperform on the back rising uncertainty
In this month’s Cross Asset Review, we assess the past performance of various asset classes and its implications for multi asset investors. Bond proxies such as infrastructure and real estate assets were the standout in January 2020 with strong positive return despite...
Outlook for AUD is more balanced, Case for hedging still weak
The continued weakness of the AUD has emerged from heightened policy uncertainty which negatively affected international trade and business investment The data shows AUD’s weakness continued over the past 12 months, mainly against Swiss Franc, Japanese Yen, USD and...
Defensive assets outperformed over the quarter against broad based weak-ness in AUD
In this month’s Cross Asset Review, we look at the performance of various asset classes in September 2019 and what this means for investors. Our analysis shows that investors continued to bid for safe-haven assets such as gold, bond and bond proxy assets in September....
Defensive assets shine on the back of escalating investor fear
In this month’s Cross Asset Review, we look at the performance of various asset classes in August 2019 and what this means for investors. In this edition, we introduce Global and Australian equity volatility indices to track market risk appetite and investor...
Woodford Crisis – how can investors use forensic analysis to identify important redflags?
Introduction In this paper, we provide an overview of the issues that plaqued Woodford, a UK-based equity investment manager. Using forensic portfolio analysis, we also show how investors could have detected some of the redflags ahead of the blow-up. By regularly...
Global Fixed Income Market Update
Key Insights Emerging market displays a positive outlook for investors as EM bonds continue to exhibit strong performance and growth. Continued dispersion in annualised returns indicates opportunities for investors to take advantage of thorough active management....
Gold and AREITs top the cross-asset performance tables
In this month’s Cross Asset Review produced by Foresight Analytics, we look at the performance of various asset classes in the last Financial Year. Central Bank policy pivot was the single largest factor in our opinion that defined the cross-sectional variation of...
What is the latest allocation structure and preference of the Australian Superannuation funds?
Representing 80% of the $3.6 trillion Australian Managed Fund Industry assets, the Australian Superannuation funds have become highly influential in global capital markets. Their asset allocation trends and preferences have important implications for other asset...
Weak fundamentals and rising geopolitical-trade tensions continue to weigh on AUD
Key Insights AUD index against major trading partners shows a clear negative trend for currency since its peak in 2012. Over the past 12 months, AUD has weakened against most major currencies, the largest weakness was noted against the Yen and Swiss Franc. AUD...
Australian risk & defensive assets outperform despite the global risk-off move in May 2019
In this month’s Cross Asset Review produced by Foresight Analytics, we look at the outperformance of domestic assets despite loses in global equity markets and rising uncertainty around global economic outlook. Gold, Bond assets and Bond proxies (AREIT/GREIT) also...
Elevated dispersion and volatility due to rising geopolitical and policy risks make a strong case for active management in Emerging Markets
Key insights Global emerging markets have provided very strong returns for long term investors. However, investors have to be prepared to accept higher volatility over shorter periods of 3 years and less. Significant performance dispersions across regions, countries,...
AUD weakness underpinned by soft fundamentals, the case for hedging foreign currency exposure remains weak
Key Insights AUD index against major trading partners shows clear negative trend for currency since its peak in 2012. Over the past 12 months, AUD has weakened against most major currencies, largest weakness was noted against the USD. AUD weakness is also evident over...
Longer term outlook for India remains highly positive, an expected Modi win bodes well for secular economic and capital market outlook
Key Insights The USD$2.6 trillion Indian economy is expected to grow by 7% in 2019, placing it amongst the fastest growing economies in the world. India’s economic growth is underpinned by structural drivers of private consumption, fixed asset investments and public...
April 2019 Cross Asset Performance Report: Risk assets deliver double digit returns so far in 2019
In the latest cross-asset review produced by Foresight analyst, we highlight 5 key themes. (You may check the complete report here.) 1. Risk assets continue to advance, Global unhedged equities lead After a strong first quarter performance, risk assets continued to...
Case study: Geospatial analysis based on consumer demand factors and demographics
A high-end furniture company requested geospatial analysis to identify the most profitable Australian postcodes and local government areas (LGA) to establish a furniture showroom. As a luxury brand, the company’s target market is high-income, high-wealth households...
Case study: Factor model for fund performance evaluation
Scenario A wealth advisory client desired an analytical tool and models to evaluate the performance of their monitored Australian equity, Global equity, and Emerging market equity funds. The client requested Foresight Analytics to build robust factor models that can...
Q1 2019 Cross Asset Performance Report: Risk assets and Bond Proxies rebound very strongly after Q4-2018 sell-off
In the latest cross-asset review produced by Foresight analyst, we highlight 4 key themes. Risk assets quickly recover their Q418 losses, Small and mid-caps lead After a notable volatility and drawdown of capital from growth assets in Q32018, markets rallied...
2018 Global Emerging Market Review – Factor rotation, dispersion and rising volatility create opportunities for active investors
Global emerging markets delivered -5.6% (AUD) in 2018, reflecting a weaker second half. Significant dispersions were noted across regions, countries, sectors and styles. Latin America was the only region to deliver positive returns in 2018 whilst all other regions...
Case Study: Predictive modelling (Foreign Currency Market)
A wealth advisory client needed evidence-based insights to underpin their currency hedging activities and strategy. The legacy process was heavily influenced by qualitative analysis and broad economic knowledge. The client requested Foresight to build a robust quantitative model to underpin their FX strategy and hedging policies.
Construct a Quant screening tool to scan global market for manager ideas
An Australian based distribution firm that partners with and distribute boutique investment products wanted to build a quant tool that would identify good managers that had greater than 3-year track-record but low assets under management.
Foresight ASX Ex-Top20 Report
Foresight ASX Small Cap Report
Foresight Emerging Market Report
Foresight Global Small Cap Report
Foresight Australian Mid Cap Report
Foresight Landscape Report – Global Mid Small Cap Funds in Australia – 31.03.2017
Foresight’s latest Australian Mid Cap Report shows this segment of the market offers strong growth opportunities for active stock pickers. The attractive growth profile of mid-caps has been steadily improving since 2013 ..
Foresight Landscape Report – Emerging Market Funds in Australia – 31.03.2017
In the latest Foresight landscape report on global emerging markets, we showcase the success of active managers, market share of key players, ranking of funds by flows, advanced performance statistics and distribution of fees charged. Our analyses show alpha…
Foresight Landscape Report – Emerging Market Funds in Australia – 31.03.2017
Key Insights UN PRI and UN SDGs provide strong encouragement and a defined framework for investors to assess impacts of their investment decisions including carbon emissions and its impact on climate. Australia has the highest per capita greenhouse gas emissions in...
Foresight Global Small Cap Factor Report
Gobal small cap represents a strong growth opportunity within the global equity markets according to our latest market factor report. This attribute is driven by several factors including 5-year earnings growth (4.8 standard deviations higher), sales growth (8.4 standard deviations higher) and IBES earnings long-term growth (8 standard deviations higher)….
Foresight Australian Ex-Top 20 Factor Report
The Australian X20 (outside top 20 companies by market cap) segment of the market represents a strong value and growth (GARP) opportunity according to our latest market factor report. Value factors that stand out relative to the broader market include shareholder yield (3 standard deviations higher,) EBITDA to EV (2 standard deviations higher) and book yield (1.6 standard deviations higher).
Foresight Australian Small Cap Factor Report
Australian small caps (X100 stocks by market cap) represent a strong growth opportunity in the Australian share market according to our latest factor report. Importantly, the growth drivers in this segment of the market are not financially levered. Valuation on the…
Factor Rotations: Evidence from global equity markets
Developed Markets There has been quite a bit of style rotation going on in global markets since 2016. After a strong relative performance from value factors in 2016, growth factors have been the driving force in developed markets so far in 2017. Return premiums have…
Industry Intelligence: Australian Funds Management Industry
Australian funds management industry experienced an increase by $24.5 billion to $1.68 trillion in the first quarter of 2017. Total assets under management for discrete mandates grew significantly, accounting for the biggest share of the market. Meanwhile, the…
Smart beta may not be so smart: risk diversification or risk amplification
Over the last few years, we have witnessed the proliferation of smart-beta and factor-tilting strategies. These strategies can play an important role in portfolios but investors need to understand the nature of risk introduced by these strategies. Our analysis of a…
Active Managers Deliver: Evidence from the Australian Micro-Cap Sector
Active Managers Deliver: Evidence from the Australian Micro-Cap Sector Foresight’s latest analysis of the Australian equity strategies reveals some interesting insights. While the big-caps have done very well over the past 10 years, Micro and Small caps have delivered…