Investment Strategies – Page 31
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Interviews
The full toolbox
Think Lyxor Asset Management’s brand-defining products and the word ‘barbell’ comes to mind: on one end, Lyxor ETFs and other index products (the cheapest and most passive vehicles); at the other, the market-leading hedge fund managed account platform (the most expensive and active investment strategies).
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Features
The emergency room
Fat-tailed models need to adapt well in normal market conditions and differentiate between asset classes. Boryana Racheva-Iotova compares fat-tailed models with GARCH based on stable Paretian distributions, t-distributions and extreme value theory
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Asset Class ReportsGlobal fixed income: Outward bound
European investors are breaking free of local markets and global benchmarks in the search for yield, writes Joseph Mariathasan
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Asset Class ReportsValue traps
Michele Gambera uses UK equities to reveal how excluding or including companies with negative earnings skews the P/E ratio of the market
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Interviews
Modelling talent – and tails
We all know that finding alpha is tough. But managing a portfolio of alpha sources is also trickier than it seems. Many assume that a hedge fund manager’s idiosyncratic risk has a stable relationship with his beta exposures (which is unsatisfactory); and that idiosyncratic risk is normally-distributed and, by definition, non-correlated with other idiosyncratic risks (which is potentially disastrous). Very few have made significant progress beyond these assumptions, but it should come as no surprise that one of those few is fund of hedge funds Caliburn Capital Partners – because building portfolios of alpha is its raison d’être.
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FeaturesWhen lightning strikes twice
Pension funds face a difficult challenge in coping with market volatility and modelling risk. Lisa Goldberg describes some of the available options in statistical analysis
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Asset Class ReportsEuropean equities: Never out of style
Managing European equities has to be about avoiding style biases, finds Joseph Mariathasan. He speaks to five managers who have squeezed alpha from very different markets with very distinct strategies
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Special Report
Lukewarm on weather derivatives
Nina Röhrbein reports on whether investors are turning to weather derivatives as a means of assuaging climate change concerns
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Special Report
De-risking drives competition
Iain Morse reports from a cost-conscious UK custody market as trustees aim to comprehend, and lower, their risk exposure
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Features
Bucking the trends
Martin Steward examines the big claims that are made for managed futures’ non-correlation with traditional assets, other hedge funds and even each other
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Special ReportAsian debt takes centre stage
Asian debt provides diversification and good risk-adjusted returns, argue emerging markets managers. Maha Khan Phillips takes a look at how institutional investors can access the asset class and where the best opportunities lie
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InterviewsIn your style
If ‘manager of managers’ was once the way SEI chose to explain its European business, it has now embraced fiduciary management. Or as Patrick Disney, managing director of SEI’s EMEA institutional business, likes to put it: “When we started here, head office told us to sell what they called a ‘bundled outsourced retirement platform’, which I always thought was a bit of a mouthful. But essentially it was what we now call fiduciary management.”
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Special Report
Going green in emerging markets
Green is gaining in currency with investors. ATP has just announced a €1bn investment to a fund focused on emerging markets and climate change, while the World Bank’s green bond issues have been snapped up. Nina Röhrbein reports
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Special Report
ESG progress in emerging markets
China had more than its fair share of bad press off the back of December’s UN Climate Change Conference. But Andrew Ness points to cutting-edge sustainable technologies in Asia, as well as real progress on social and governance fronts
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FeaturesEnter the global dimension
There is no rule that says emerging market securities are the only – or even the best – source of emerging market exposure. Martin Steward looks at access points closer to home
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Special Report
Time to build the new world
The growth of Asia is undoubtedly one of the great investment stories of the coming generation, and infrastructure is one of the key areas of exposure for European investors. But Martin Steward finds that the opportunity might be surprisingly short-lived
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Special Report
A venture for Asia exposure
A joint venture between Marshall Wace and GaveKal brings together top-flight long/short capabilities with seasoned Asia research. Martin Steward finds that 2008 gave it a baptism of fire
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Special Report
Corporatising Asia
It’s no news that Asia offers long-term growth. But the value locked up in its disparate corporate structures means private equity could represent the keenest form of Asian risk, writes Joseph Mariathasan
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Asset Class Reports
Not just all-in on BRICs
Joseph Mariathasan and Martin Steward research some of the top performers in emerging market equities and finds considerable diversification, not only between top-down and bottom-up approaches, but between valuation methodologies
