Latest from IPE Magazine – Page 368
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Interviews
Setting sail for calmer waters
By the time Jeremy Baskin took the helm of AXA Rosenberg, its previous CEO, Stéphane Prunet, had spent 13 months steering the widely-venerated quant house, with great steadfastness, through the worst storm ever to engulf it.
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Features
Pieter’s Italian job
The best thing about August is holidays – this year two weeks by the beach in on the Italian Riviera with my wife and children. Italy is the best for family holidays; everything is to hand. Life is relaxed, the weather is fine, the food is good and the wine flows in the evening.
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Features
Funds unfazed by ban
Almost 70% of respondents to this month’s Off The Record survey told us they had not decided to suspend securities lending in light of recent market turbulence and the short-selling bans imposed by four European countries. However, a Danish fund that had decided to suspend securities lending stated that they had taken this action as “the earnings are too little compared with the risks”.
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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 ReportPortfolio Construction: Preparing for all probabilities
Emma Cusworth discusses strategic asset allocation weights adjusted for the economic cycle
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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 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 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 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 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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Country Report
Italy: The fiscal rubacuori
As Silvio Berlusconi struggles to maintain authority under a deluge of legal cases, his mandate has been undermined. Maria Teresa Cometto argues that the losers will be the economy and the pension industry as fiscal reform will be postponed in favour of achieving short-term political gain
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Country Report
Italy: Amundi SGR SpA Seconda Pensione Fondo Pensione Aperto
The supplementary pension fund of Amundi Asset Management is a defined contribution plan, founded in 1999. Subscription is voluntary and open to employees of Amundi and other individuals, independent of profession.
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Country Report
Italy: Fondo Pensione Complementare Pegaso
Fondo Pensione Complementare Pegaso was founded in 1997 as the contractual pension fund for the Italian utilities sector. Its membership base consists of mainly electricity, gas and water companies, at present it has around 500 member companies.
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Country Report
Italy: Hamstrung by law 703
Armando Piccinno reviews Italian pension funds’ asset allocation behaviour
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Features
Risk abides, man changes his mind
Financial risks grow and subside with economic cycles but always remain. Human attitudes towards them also vary. Arguably they matter more and often change the most. Allianz Global Investors’ first RiskMonitor survey, conducted in conjunction with IPE, paints a picture of pension funds’ current attitudes to risk and how they are changing.
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Features
Actual results may vary
On Friday 10 June, the Dutch government, together with employer and employee representatives, signed a comprehensive agreement to drastically reform the Dutch pension system.
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Features
Easier said than done
Often the solution to a problem is as complex as the problem itself. And a lot of things are easier said than done.
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Features
What do regulators need?
Pension regulators come in a variety of shapes and forms. Sometimes those forms change to reflect prevailing wisdom on the best constitution of financial regulatory and supervisory bodies.
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Features
Not everyone loves the Pensions Agreement
After much wrangling, heel-dragging and finger-pointing, the Dutch government and social partners have hammered out a Pensions Agreement. In mid-June, the social partners and the cabinet unveiled an agreement that aims to increase the official retirement age for the first pillar (AOW) to 66 in 2020 and to 67 in 2025. First pillar benefits will be raised an extra 0.6% annually, amounting to indexation in line with real earned wages, a major demand of umbrella union FNV. Early retirement will remain an option, but against a loss of 6.5% of the AOW for each year.
