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BUILDING SOCIETY EXCELLENCE
CFA Institute and CFA Society network are leaders in providing in-depth insights about the investment world of today and what that means for the industry of tomorrow. Here is a glimpse at what we’re working on now and into the future. Dates are subject to change.
December 2023
In Market
Celebrating Harry Markowitz’s legacy of mean–variance optimization, this paper reviews the history of MVO and proposes a Bayesian approach to estimating inputs for expected return.
The GIPS Standards Guidance Statement on Firms Managing Only Broad Distribution Pooled Funds will allow firms that manage only public pooled funds to more easily claim compliance with the GIPS standards.
Changes to the Code and Standards and the guidance for the three revised Standards of Professional Conduct, which are effective 1 January 2024, on the enterprise website.
Theme: Resiliency of the Capital Markets
The authors analyze the trade-off between factor exposures and sustainability measures—specifically, carbon footprint, SDG scores, and green bond allocation—in the construction of actively managed credit portfolios. They
January 2024
Authors will illustrate how short-run reversals exhibit variations based on distinct aspects of stock-level liquidity.
Theme: Sustainable Investing
This research aims to assess the suitability of current regulations for finfluencers and will examine how well these regulations address the unique nature of finfluencer content, while exploring the impact of such content on investment decisions among Gen-Z investors.
Theme: Future of the Profession
February 2024
Using a novel dataset, the authors investigate fund performance and persistence in private equity returns in international markets, finding that investment strategy and investment geography distinguish the returns of private equity.
Target Release: February
This report provides an analysis of fund flows and performance of ESG and sustainability funds, split by strategy and ownership, in the context of industry growth.
Analysis of fund flows and performance of ESG and sustainability funds, split by strategy and ownership, setting in context their growth and development.
This book puts forth a practical, integrated three-stage model for financial planning that not only embraces lifecycle finance but also integrates it with single-period optimization models.
March 2024
Target Release: March
Analysis of fund flows, fees and performance for active funds and examination of the extent of closet indexing. Comparison of active share and active fee over different markets and time periods. Assess value and policy implications.
This report delves into insights from an investor survey and various perspectives on the accounting treatment of intangible assets, with a focus on professionalism and in-depth analysis.
A summary of investor survey findings and perspectives on accounting for intangible assets, excluding Goodwill. Theme: Resiliency of the Capital Markets
This paper forms part of our Net Zero workplan and sets out challenges and solutions to advance transition finance in support of net zero goals. It is aimed at professionals, firms, and asset owners that intentionally seek to incorporate net zero into their investment process.
Private credit is one of the fastest growing areas of the capital markets. This Research Foundation Brief sheds more light on the due diligence process, intrinsic features, risk profiles, and potential perks of each one of the existing alternative credit types of transactions.
This paper provides the latest analysis on AI in the investment process and illustrates how AI methods can be incorporated into fundamental investment research. It is therefore highly relevant to research analysts and active portfolio managers.
In Market: Data Analytics, Technology, and Automation
Conversations with Frank Fabozzi, CFA, featuring Sebastien Page and his T. Rowe price team.
The aim of this project is to create a comparison ESG Disclosure Standards and SDR. The purpose of this comparison is facilitate adoption in the UK market. This will be our 4th comparison to national/regional regulations.
This article explores how inflation, real rates, and government creditworthiness are pivotal factors driving stock-bond correlation. It reveals that rising correlation is associated with increased risk in multi-asset portfolios and higher bond risk premia.
This article underscores the common disparity between live portfolio performance and theoretical backtests or paper portfolios, attributing it to trading costs and other frictions leading to implementation shortfalls. It suggests studying "smart rebalancing" techniques as crucial as analyzing the underlying factors themselves.
This is an update of the Standards of Professional Conduct Handbook (SOPH) to reflect changes to the Code of Ethics and Standards of Professional Conduct, which are effective 1 January 2024. This is the first update to the Standards of Practice Handbook since 2014.
April 2024
Target Release: April
This report offers an overview of unstructured data, reviews the analytical methods and tools to extract such data, and applies these techniques to Twitter data on ESG.
Theme: Data Analytics, Technology, and Automation
This paper is intended to help both investment professionals and retail investors assess data sources and integrate climate-related risk and opportunities in their investment process.
Mean–variance portfolio optimization focuses solely on risk and return, neglecting non-financial objectives, such as sustainability. The authors introduce mean–variance-sustainability optimization and demonstrate its efficacy empirically.
Create a community in the CFA Institute Community platform (powered by Higher Logic) for our GIPS Standards Sponsors to enhance engagement and facilitate resource sharing.
This paper is intended to help both investment professionals and retail investors assess data sources and integrate climate-related risk and opportunities in their investment process. The study also showcases current limitations in data. These limitations are important for investors and should also be of interest to regulators and policy makers, and to issuers.
This report examines current issues European companies face when it comes to raising capital and accessing primary markets and what regulators could do to encourage organizations to operate more in equity markets. The findings have relevance for the EU’s ongoing review into its capital market structures and capital markets union initiative.
This study investigates how optimal allocations to equities, value and small factors, and commodities have changed across different holding periods using historical time series data.
May 2024
Target Release: May
Public policy statement on Net Zero to accompany release of the paper “Net Zero in the Balance”
Private Equity Certificate is the next addition to our Private Markets stack. With a strong emphasis on the in-demand skill of financial modeling, this new certificate is aimed at those starting or aspiring to start their careers in private equity and is scheduled to hit the presale market around May, with courses launching around August.
The report covers unstructured and alternative data types and use cases. It reviews fine-tuning methods used in NLP models designed to work with unstructured and alternative data and synthesizes the methods into a case study on ESG data.
This review critically synthesizes the academic literature on private equity, spotlighting its performance and track record of value creation. It also examines crucial aspects of private equity investing relevant to investors forming and managing their fund portfolios.
The authors present a method for optimally hedging climate risk that incorporates new methodologies for estimating large-dimensional covariance matrices in short sample. The enhanced method is shown to be more efficient than traditional approaches.
The design and process controls are completed and in the Net Zero team site. The first set of invitations to be interviewed went out on 29 September 2023.
This report delves into the increasing importance of governance in private markets amidst shifting financial landscapes. It also presents findings from a global survey of CFA Institute members regarding their attitudes and practices related to private markets.
June 2024
Target Release: June
This study scrutinizes active fund dynamics, examining responses to passive fund competition through empirical analysis of fund flows, fees, and performance, including factors influencing active share across different regimes.
This project offers a chance to reassess product and strategy definitions, aiming to redefine indexing and create a taxonomy that adapts to evolving conditions in the investment industry.
In December 2023, we conducted a new ESG survey among CFA members in the EU. Responses will shape a forthcoming report analyzing EU sustainable finance regulations, proposing solutions for ESG risks, and recommending enhancements to policy rules without compromising investor protection. Expect the report by the first half of 2024.
Using 1964–2023 data for the largest 1,000 US stocks, this study analyzes nonlinear return-to-characteristic relationships for five factors: value, momentum, small size, low beta, and profitability.
Testing the predictive performance of machine-learning methods in estimating the illiquidity of U.S. corporate bonds, this study finds that such techniques outperform the most common benchmark. Additional techniques can enhance this performance.
September 2024
Target Release: September
Provides guidance for establishing policies and procedures for handling trade errors.
Creates principles for calculating and reporting attribution.
Conduct a survey of asset owners for compliance with the GIPS standards and issue a report on the survey results.
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