Pension Fund Strategy – Page 144
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Special Report
Portfolio Construction: A roadmap for portfolio rebalancing
Will Kinlaw and Jay Moore discuss how pension funds can avoid traffic jams, road construction and the associated costs of delays as they get portfolios back on the road to strategic asset allocation weights
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Special Report
Portfolio Construction: Offensive or defensive?
Kathryn Kaminski argues that the adaptable, liquid,systematic profile of managed futures makes it a more efficient long-term approach to tail risk than insurance-style strategies
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Special Report
Portfolio Construction: Defensive or offensive?
Jerry Haworth argues that options-based volatility strategies have five ‘killer apps’ that make them better tail-risk hedges than managed futures – as long as you buy them at the right time
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Special Report
Portfolio Construction: Convexity complexities
Buying absolute return or tail-risk insurance strategies complicates the portfolio rebalancing process. But Martin Steward finds that a solvency management framework can re-impose some objectivity on that process
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Special Report
Portfolio Construction: Risk as a profit centre
Managing and monitoring tail risk is not just about insuring against extreme losses. Boryana Racheva-Iotova describes the potential for expected tail loss measures to feed into tactical portfolio optimisation where variance is traditionally deployed
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Special ReportPortfolio Construction: Hedge fund ALM
The 2008 crisis showed how liquidity mismatches can undermine apparently robust hedge fund portfolios. Peter Meier and Jann Stoz argue that measuring returns autocorrelation can enable investors to assess mismatches using only fund of fund-level information
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Special ReportPortfolio Construction: The changing asset allocation framework
Stacy Cuffe, Lisa Goldberg and Frank Nielsen describe the move from asset-class allocation to risk-based allocation, and the problem of ‘risk-grouping’
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Special ReportPortfolio Construction: Preparing for all probabilities
Emma Cusworth discusses strategic asset allocation weights adjusted for the economic cycle
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Special ReportPortfolio Construction: Three Blind Mice
Accounting for fat tails of individual instruments is not the same as managing those tails at portfolio level. Svetlozar (Zari) Rachev and Georgi Mitov explore how advanced copulas might address the problem of fat tails, dependence models and portfolio risk
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Special ReportPortfolio Construction: It’s the economy, stupid
Efforts to diversify have for too long assumed that we live in non-cyclical economies, and ignored the mix of economic factors that drive asset-class risk. Lynn Strongin Dodds takes a tour of some alternatives
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Special Report
Portfolio Construction: Allocating risk, allocating time
Martin Steward talks to ex-FRR CIO Jean-Louis Nakamura about Lombard Odier’s volatility-driven allocation and its time-horizon tactical allocation process
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Special ReportPortfolio Construction: A question of skill
The hedge fund world is supposed to be about skill. But Martin Steward asks, if you use a fund of funds, what skills are you buying – and whose?
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Special Report
Portfolio Construction: The horrible handful
Raphael Douady outlines the top five investment risks that every investor in hedge funds should know about
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Special ReportPortfolio Construction: Broaden your horizons
On the hunt for truly diversified sources of risk, Martin Steward takes aim at different investment time horizons
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News
MAN turns pensions into savings plan
GERMANY – The transport engineering group MAN has created a new retirement provision plan, eliminating all longevity risks.
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News
BPK under pressure to make DC switch
SWITZERLAND – The public pension fund of the Swiss canton of the capital city Bern, Bernische Pensionskasse (BPK), is under pressure from member companies to speed up its move away from a defined benefit (DB) scheme to a defined contribution (DC) arrangement.
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News
Multinationals 'unaware of overseas pension costs' – Allianz
GLOBAL – Multi-national companies are forfeiting up to 15% of the risk premium by not coordinating the various employee benefits plans of their overseas subsidiaries, according to Dirk Hellmuth, head of Allianz International Employee Benefits Network (All Net).
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NewsShetland Islands tenders investment and actuarial services
[14:30 CEST 08-07] UK – Shetland Islands Council is tendering both the investment consultancy and actuarial consultancy roles for its local authority pension fund.
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News
Edinburgh Uni tenders admin, actuarial and investment
[15:00 CEST 26-06] UK – The University of Edinburgh is re-tendering the administration, actuarial and investment services for its £155m (€181m) Staff Benefits Scheme (SBS).
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News
Buy-in security 'helps credibility'
[17:15 CEST 15-05] UK – Over 90% of trustees and industry professionals believe insurance companies do not always need to offer additional security in pension-buy-in transactions, although it improves their credibility if they do so, Hewitt Associates has revealed.
