Asset Allocation – Page 134
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Special ReportAsset Allocation: Raincoat and sunglasses
Today’s distorted and correlated markets confound asset allocation. Martin Steward asks when normalisation will be restored, and how to manage the transition
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News
EDHEC outlines ideal investment strategy for sovereign wealth funds
GLOBAL – The investment strategy of a sovereign wealth fund (SWF) should consist of three basic building blocks, including liability hedging and an endowment-hedging portfolio, according to research by the EDHEC Risk-Institute.
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News
Austrian funds increase equity allocation in Q1
AUSTRIA – Official figures for the first quarter performance show a significant increase in the equity holdings of Austrian pensionskassen, which are the subject of further reform proposals.
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News
BVV to diversify through commodities
GERMANY – The €20.9bn BVV Pensionskasse for German banks saw returns from its bond-heavy portfolio drop last year and is now seeking to increase its diversification by investing in commodities.
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Special Report
Dark forces
Uncertainties govern any future projection of the equity risk premium, argue Wim Barentsen and Svetlana Rodionova, making scenario analysis essential to APG’s asset-liability matching process
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Special ReportPricing equity risk appetite
Historic excess returns from equities tell us little about the risk premium embedded in valuations at any given time. Toby Nangle and Hartwig Kos explain how a forward earnings-based model allows them to take account of extreme economic scenarios that could disrupt those earnings
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Special Report
Dynamic alpha risk budgeting
Dynamic management of core/satellite allocations might seem an ideal strategy for maximising return while minimising costs. But this approach can be difficult to execute, argues Daniel Wallick
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Special Report
SMART portfolio management
Static portfolio management techniques fail because they cannot respond to changing economic conditions. Arun Muralidhar offers an alternative
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Special Report
SWFs – case for ALM
Work needs to be done to develop optimal asset allocation and liability-management strategies for sovereign wealth funds, argues Lionel Martellini. The first step is to define each fund’s purpose and source of revenue
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Special Report
Surviving stagflation
As the dreaded ‘s’ word edges onto the periphery of economists’ radar screens, Martin Steward assesses the options for defending against it – and the risks those options present
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FeaturesInvestor case study: APG
The Dutch giant is not about to turn away from convertibles as a way to tap into equity upside while retaining some downside protection in a falling market, says Lynn Strongin Dodds
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FeaturesThe big picture
It would be silly to predict the bottom of a deep recession on the basis of a single month’s volatile manufacturing PMI data
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FeaturesManager Profile: CAAM
Convertible bonds might be taking a battering from the current crisis but CAAM is banking on its experience in the sector to see it through, finds Lynn Strongin Dodds
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Features
How convertible securities are valued
Convertibles’ hybrid nature presents valuation challenges and trading opportunities, says Joseph Mariathasan
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FeaturesConvertibles: why now?
Convertible bonds as an asset class had one of the worst years in their history in 2008.
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Features
The old ways are out
Convertible bond issues have been thin on the ground in this recession, but sooner or later even highly-rated large-caps may tap the market for refinancing, says Lynn Strongin Dodds
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FeaturesStrategy refuses to be written off
Unexpected market events may have once more severely affected convertible arbitrage but the strategy continues to hold attractions for institutional investors, finds David White
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Special ReportAfter the bubble bursts
Spain’s banks were hit by the collapse of the local property market. And they control the pension funds, notes George Coats
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FeaturesThe advantages of conservatism
Portuguese pension fund asset allocation has been criticised in the past for a traditional approach that lost out on potential gains. But George Coats finds that at a time of market crisis it may limit losses
