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Arun Muralidhar' s stories

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  • SMART portfolio management

    Magazine Tue, 1 Dec 2009

    Static portfolio management techniques fail because they cannot respond to changing economic conditions. Arun Muralidhar offers an alternative

  • Devising an investable index

    Magazine Sat, 1 Oct 2005

    There has been a growing emphasis on pension fund liability management and creating a portfolio of assets to match these liabilities. The popular press has published several recommendations to protect pension fund solvency through the immunisation of liabilities. Recommendations have ranged from the approach of the Boots Pension fund, which converted the entire portfolio of assets into fixed income assets (since revised to include a small allocation to non-fixed income assets), ...

  • Uncovering the treasure within

    Magazine Sat, 1 Jan 2005

    In his novel The Alchemist, Paulo Coelho tells the story of a shepherd who leaves home in search of a treasure. Along the way he meets a beautiful gypsy woman, a man who calls himself a king and an alchemist. No one knows what or where the treasure is but they all point him in the direction of his quest; ultimately, the treasure is found right where he started. This could easily be the tale of the average pension fund manager who in their search for more alpha may have missed the treasure ...

  • Currency overlay

    Magazine Thu, 1 Apr 2004

    Pension funds and institutional investors have been globalising their portfolios for many years, yet a majority of these investors have typically ignored the currency risk inherent in these investments. For example, euro-based investor with US assets has seen a reduction in returns from investing in the US since 2001 (close to 50%) purely from the movement of the E/$ exchange rate. As a former pension plan sponsor who struggled to find a single source of information on the topic of ...

  • Increase your options

    Magazine Mon, 1 Sep 2003

    The creation of the euro played a bad trick on currency managers. To begin with, currency managers had strong performance and information ratios, and this was managed with only 20 currencies (which given cross hedging gave a fair opportunity set). A number of research studies suggested that the alphas in currency management were approximately 150 bps annualised and information ratios ranged from 0.5-0.7. However, the arrival of the euro took 10 currencies off the table – this would ...

  • Book review: 'European Pensions & Global Finance'

    Magazine Sun, 1 Jun 2003

    Gordon Clark’s book, European Pensions and Global Finance, provides a refreshing addition to the burgeoning literature on social security and old age retirement security. Rather than offer another solution to the pending crisis, he reviews the political economy and economic geography to examine the role and status of European pension systems in relation to financial imperatives driving globalisation. This book is a unique examination of the history and geography underlying pension systems ...

  • The real social security question

    Magazine Thu, 1 May 2003

    All over the world, public pension funds – like Social Security- are heading for bankruptcy under the impact of three trends: ageing population, slowing productivity growth and increases in longevity. Unless these systems are reformed immediately, governments face an unsavoury choice of raising taxes and/or cutting benefits to maintain the current systems. Because most public pension plans are, at present, not funded, they are feeling the negative impact of these trends. They are financed ...

  • And the 'Blue Ribbon' answer...

    Magazine Thu, 1 May 2003

    We propose a more pragmatic direction that leverages the best practices adopted by corporate pension funds. If anything, the mistake made by many reformers was to confuse ‘corporatisation’ with sprivatisations. In our forthcoming book ‘Rethinking Pension Reform’ (Cambridge University Press), we propose a ‘permanent’ solution to the problem of maintaining current benefits levels and stable contribution rates. Our approach, which we label ‘Risk diversification through a common portfolio’, ...

  • Widening your options for currency returns

    Magazine Fri, 1 Mar 2002

    Currency overlay, the process by which institutional clients are able to overlay the expertise of currency managers on currency exposures inherent in international investing, has become a necessary part of investment management globally as funds increasingly invest abroad. As with any other investment area, there are multiple styles that can be adopted and investors have been advised to adopt a diversified strategy to capture the lack of correlation across these strategies. However, ...

  • Risk control and plan sponsors

    Magazine Fri, 1 Sep 2000

    As investors pursue larger allocations to international assets, they are forced to consider what they must do with the ensuing currency risk. There appears to be a general consensus that: q holding currencies passively is not likely to provide return, but instead engender volatility, and q active currency management can exploit inefficiencies in the currency markets. Further, it appears that one can be fairly confident that the excess return from active currency overlay ...

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