Latest from IPE Magazine – Page 311
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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 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 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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Features
We were all caught naked
IPE hosted Stanford Business School’s Anat Admati this month, in town promoting The Bankers’ New Clothes, the well-received book she co-wrote with Martin Hellwig of the Max Planck Institute.
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Features
Unsubtle financial repression
Dutch politicians are acutely aware of the size and importance of pension funds and want pension assets to be channelled back into the domestic economy.
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Features
The banker blame game
As if pension funds and other institutional shareholders did not already have enough on their plates, the calls on them to engage more with companies have been increasing in volume over the last few years.
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Features
Motherhood and apple pie
Perhaps it should not be a too much of a surprise that 68% of Swiss people voted in a national referendum in March in favour of a motion against ‘rip-off’ executive salaries.
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Features
Waterford Crystal: shattered illusions of safety
When famed manufacturer Waterford Crystal went into insolvency in 2009, it set in motion events that affected pension funds in Ireland and the UK.
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Features
Danish fund reverses stance on foreign equity
Foreign listed equities are again being targeted by Denmark’s DKK600bn (€80.5bn) statutory pension fund ATP, having sold off all such holdings two years ago. Since then, the listed equities portfolio has consisted of only domestic shares. ATP’s CIO Henrik Gade Jepsen says that, in the long term, the fund will focus on building up its foreign equity exposure.
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Features
Leave asset mix to pension funds
Despite Kees van Dijkhuizen’s conclusion that there is support for increased involvement from Dutch institutional investors for financing residential mortgages through state-guaranteed bonds, the IMF seems to have vindicated pension funds’ initial reluctance.
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Features
The vain search for harmony
The European Insurance and Occupational Pensions Authority (EIOPA) dropped something of a bombshell in early April with its preliminary results for the first quantitative impact study (QIS) on the revised IORP Directive.
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Features
The bankers’ new clothes … yet to be made
Bankers have, in recent years, become the butt of many jokes and the scapegoats for all that went wrong in the financial crisis.
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Opinion Pieces
Dimon’s status quo risks
No one says star gazing is easy but let’s be brave. JP Morgan Chase (JPM) is a preventable surprise in the making.
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Features
Accounting: Hoogervorst decrees
Unless you are an actuary, trustee or policy wonk, it is unlikely that the IASB’s conceptual framework project – the basis for International Financial Reporting Standards (IFRS) – is high on your agenda.
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Features
Transition management for China
European politicians like to meet with Jin Liqun, chairman of the board of supervisors of China Investment Corporation. As a man with more than $400bn (€309.2bn) in assets for investment outside China, they have been actively courting his fund’s capital.
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Interviews
On the Record: What is your credit strategy?
CWPS (Ireland), VER (Finland), Vopak (Netherlands)
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Features
Keeping hold of deferred members
Pension funds need a robust strategy to keep track of deferred members and to communicate with them in the right way. Gail Moss reports
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Features
Satellites in orbit
Christoph Ryter, CEO of the Swiss retail group Migros’ Pensionkasse, explains his fund’s diversification strategy to Nina Röhrbein
