Pension Fund Strategy – Page 143
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Special Report
Risk & Portfolio Construction: Un-mixing the market ingredients
Breaking down asset class into their respective common factor risks seems to yield real analytical insights. Martin Steward asks what investors should do in practice with those insights
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Special Report
Risk & Portfolio Construction: Theory and practice
A survey conducted in September 2011 by Allianz Global Investors suggests that at least one-third of European institutional investors see the merit in analysing portfolios by risk categories as opposed to asset classes.
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Special Report
Risk & Portfolio Construction: Optimising the risk factors
One of the most popular ways of implementing the insights that come from analysing portfolios according to risk factors rather than asset classes is ‘risk parity’.
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Special Report
Risk & Portfolio Construction: Portfolio dynamics
Jepser Kirstein sketches the profound changes in institutional portfolio design over recent years – and notes that a better understanding of risk enables investors to increase as well as decrease it
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Special Report
Risk & Portfolio Construction: Villain with a role to play?
If you want to maintain decent returns with genuinely diversified risks, some practitioners insist that leverage is a necessity. Joseph Mariathasan finds out why, and looks at the counter-argument from multi-asset strategists who disagree
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Special Report
Risk & Portfolio Construction: ‘It’s not overly quantitative’
Look at how SAUL’s financial reports represent its asset allocation and you quickly realise that it does not think about that allocation in terms of asset classes, but in terms of strategies designed to meet well-defined objectives related to its funding position. There is the common split between ‘risk-reducing’ assets ...
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Special ReportRisk & Portfolio Construction: A smart-beta framework
Martin Steward speaks with Lombard Odier’s Jérôme Teiletche, co-author of a new paper that compares alternative equity portfolio construction techniques within a common framework
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Special Report
Risk & Portfolio Construction: Revenge of the quants
The ‘risk-factor’ revolution offers the tantalising prospect of getting exposures for which investors used to pay alpha fees as bargain beta. But Brendan Maton notes that it raises as many questions as answers when it comes to investable product
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Special Report
Risk & Portfolio Construction: Don’t let the tails wag the dog
Vincent Berard and Daniel Dimitrov explore ways to introduce tactical allocation tilts into a strategic portfolio using tail risk and alternative betas
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Special Report
Risk & Portfolio Construction: The full toolbox
By synthesising an 85-year dataset Thomas Thygesen and Kristina Styf demonstrate the strong diversification benefits to be had from three key hedge fund strategies and seven alternative betas
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Special Report
Risk & Portfolio Construction: From sub-optimal to optimal
Peter Meier, Andreas Ruckstuhl and Marc Weibel show that optimising for expected shortfall and the Sharpe-Omega ratio can improve risk-adjusted returns from traditional assets and core-satellite portfolios that integrate alternative investments
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Special Report
Risk & Portfolio Construction: ‘Our objective is clear’
Often when an investor starts to explore ‘smart beta’ – alternative weighting systems for equity portfolios and benchmarks – it signals some dissatisfaction with traditional active management, traditional market cap-weighted benchmarks, or both. Not so in the case of the Rabobank Pensioenfonds.
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Special Report
Risk & Portfolio Construction: 21st-century portfolio construction
Dan Mikulskis makes the case for a risk-parity approach to constructing portfolios of liquid risk premiums
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Special Report
Risk & Portfolio Construction: ‘The wake-up call was 2008’
In April 2010, PGGM decided to build its own managed account platform (MAP) using know-how and technology from veteran Lyxor Asset Management. It had been investing in hedge funds for its clients since 2003 – they account for about 3-5% of total assets.
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Special Report
Risk & Portfolio Construction: The only way is up?
Jennifer Bollen looks into what rising bond yields would mean for risk-parity portfolios
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Special Report
Risk & Portfolio Construction: Time to diversify
Investors diversify across asset classes, risk factors and investment styles. Maha Khan Phillips asks if trading time horizon brings anything extra to the process
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Special Report
Risk & Portfolio Construction: Always in style
Four or five equity-investing ‘styles’ appear to be systematically rewarded over time. Maha Khan Phillips asks if it is possible to use them to diversify a long-only portfolio
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Special Report
Risk & Portfolio Construction: Taming alpha, harnessing beta
Rachel Fixsen looks at how a more sophisticated understanding of hedge fund risks is changing the way investors integrate these strategies into their portfolios
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Special Report
Risk & Portfolio Construction: ‘All equities are black boxes’
In January 2011 the PNO Media Pension Fund terminated its US and European equity enhanced-index mandates with Barclays Global Investors and brought the assets in-house. However, it did not go passive – or at least, not in the sense in which most of us would understand the term.
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News
Airline SAS to abandon DB ahead of accounting changes
EUROPE – Nordic airline shifts employees towards DC funds, cites impact of IAS19.
