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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.
February 2024
In Market
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.
Theme: Sustainable Investing
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
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.
Theme: Resiliency of the Capital Markets
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.
Theme: Future of the Profession
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
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 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
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.
Theme: Data Analytics, Technology, and Automation
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.
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.
Public policy statement on Net Zero to accompany release of the paper “Net Zero in the Balance”
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.
This report explores the current issues around gender globaly and demonstrates how our program aims to tackle these issues. The report also outlines the purpose, structure and outcomes of the YWI Program.
To improve accuracy for estimating long-term expected returns, this study evaluates different estimation frameworks and input proxies within each framework.
This study examines promotion dynamics in Australia's financial services, revealing gender disparities where women receive fewer unsolicited promotions than men but achieve higher success rates when seeking promotions.
This report discusses the global need for transformational changes to achieve net zero, highlighting the substantial financial challenge of financing this transition over the next three decades.
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.
European Adaptation of the CFA DEI Code and Implementation Guidance.
July 2024
Target Release: July
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.
This paper introduces a novel corporate bond transaction cost measurement approach to evaluate net-of-cost returns of systematic bond investments and to determine which strategies remain the most profitable as fund size increases.
The objective of this paper is to reexamine ways to define indexing and to develop a taxonomy of indexing as conditions are changing in the investment industry.
This report will analyze the EU regulatory framework on sustainable finance, propose solutions for ESG risks, and provide recommendations to improve ESG investing policies while ensuring investor protection.
This piece discusses investor survey findings and other perspectives on the accounting for intangible assets.
This paper provides a rationale and a simple framework for applying ESG screens to portfolios that include derivatives.
August 2024
Target Release: August
This project aims to integrate a network-based general valuation model into the TRISK climate stress testing model. A general valuation framework proposed by Barucca (2020) will be used to model the network contagion effects.
This article will cover a practical correction method proposing a heuristic Z transformation to assess probabilities of left-tail events in equity returns, demonstrating improved assessments for Z statistics lower than –1.
Section I of this paper serves as a primer on tokenization of assets and its use cases on different markets.
This paper examines the rising market share of index funds, fund fees, and the drivers of active management in US and European markets over different regimes. The analysis provides an examination of the response of active funds to competition from index funds, economic conditions, and market volatility through descriptive statistics and an empirical analysis of the drivers of active share.
This project will provide guidance and resources for investment professionals to better understand the global carbon markets and then employ them as an effective tool for advancing and achieving net zero goals.
September 2024
Target Release: September
This paper will develop our BITS framework, summarize existing contributions, address key business challenges for investors and asset owners, suggest pathways forward, deepen stakeholder dialogue, and inform future research and educational initiatives.
This project will examine the state of the voluntary carbon markets, assess policy issues, and address implementation challenges to enhance market integrity, functionality, and transparency, crucial for its role in climate finance.
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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