Latest from IPE Magazine – Page 576
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Features
Heading for a crowded retirement
Bent Nyløkke Jørgensen stood down as chief executive of PKA in Denmark at the end of 2001 and has since carried out a number of tasks, including chairing the Jørgensen committee, a working party to draw up recommendations on pension fund governance for the Danish government What was your ...
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The great alpha hunt
Europe’s pension funds are still reluctant to talk about their strategies in terms of alpha and beta. But there is still a need for pension funds and other large investors to gather all the outperformance that they can. The terms ‘alpha’ and ‘beta’ are used to name two investment management ...
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Features
Turning to private markets
The expectation of continuing low returns over the next decade has left investors scrambling for new approaches to asset allocation, desiring to move beyond the horizons of modern portfolio theory and on to the postmodern universe. One stab at defining a postmodern portfolio theory is presented in a recent report ...
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Features
Where the long-run returns lie
Markets are volatile, with much variation in year-to-year returns: we need long time series to make inferences. The periods we examine must be long enough to incorporate the good, the bad and the indifferent times. In this article we provide an update on long-run returns on stocks, bonds, bills, and ...
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Features
Spending risk in the right places
Most pension funds currently use a two-stage process in determining investment strategy. First, they determine their strategic asset allocation (SAA) using asset liability modelling based on the unique liability characteristics of the fund. This creates the allocation to various asset classes known as the policy benchmark. Managers are then appointed ...
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Features
The search for the holy grail
The Capital Asset Pricing Model of financial theory is the root of the Alpha, Beta distinction. This model is shown below: where R is the return from respectively the portfolio and market, alpha and beta the objects of interest and epsilon a residual error term. This is a simple linear ...
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Features
Still waiting for the future
By far the most important development in the Belgian pensions market has been the provisions for industry-wide pension schemes set out in the Vandenbroucke Law which came into effect at the beginning of last year. The main aim of the law – to boost second-pillar pension provision by creating industry-wide ...
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Features
Alpha overlay: employing active management risk
In simplest terms, alpha overlay is the process of generating excess returns through active management, independent of an underlying asset class. Properly executed, alpha overlay leads to better investment results with no more risk than traditional investment management for the following reasons: q The total return of a portfolio equals ...
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Features
Steering towards convertibles
Back at the start of this decade, convertibles were one of the darlings of the capital markets, producing equity-like returns (double-digit in those days) with considerably less risk. Conventional/traditional fund managers and the convertible arbitrage hedge funds, both enjoyed excellent performance. The happy times are gone and returns in recent ...
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Features
Eking out extra returns
Melissa Brown, managing director and senior portfolio manager of the quantitative equity group at Goldman Sachs Asset Management (GSAM), says there has been a lot of interest among pension funds in many different markets for enhanced indexation products in the last year or so. She cites several reasons for the ...
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Features
Best and worst of both worlds?
For all the benefits enhanced indexing may offer – close index tracking with vital extra points of performance – the depth of its acceptance varies from country to country within Europe. Frits Bosch, director of Netherlands consultancy Bureau Bosch, says enhanced indexing is very popular among pension funds in his ...
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Features
Carried away with alpha
Although enhanced indexing is a strategy for generating limited levels of outperformance, portable alpha is another technique for adding value, and one which has the huge potential advantage in that it can be used to boost returns in an unconnected part of the portfolio. Portable alpha is generated using ...
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Features
Cleaning up with enhanced
Among the UK pension funds that moved into enhanced index equities last year was the £550m (e792m) fund belonging to household cleaning products company Reckitt Benckiser UK. The fund awarded State Street Global Advisors a £50m enhanced indexing equity mandate. The fund’s manager Kevin O’Berg said State Street was chosen ...
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Features
Coping with era of low returns
IPE asked three pension funds in three countries – in Finland, Ireland and Slovenia – the same question: ‘How are you meeting the challenge of what looks like a more-than-temporary low in long-term interest rates?’ Here are their answers: Jari Eskelinen is head of fixed income at Ilmarinen, Finland’s ...
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Features
Sorting the sheep from the goats
The Gothenburg-based Andra AP-fonden (AP2), one of the national ‘buffer’ funds of Sweden’s pension system, took the unusual step last year of terminating 16 of its domestic and European equity mandates at one stroke. This bold move was part of a strategic decision to draw a clearer distinction between the ...
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Features
Equities' Jekyll and Hyde
The Dutch asset management house Robeco last year announced that it was launching its first value fund, benchmarked to the MSCI World Value Index and investing solely in undervalued securities. The significance of this is that Robeco has a strong tradition of growth investing. Its Rolinco fund is a pure ...
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Features
Reclaiming what is yours
Are brokerage commissions on securities transactions too high? Pension fund managers in Europe, who believe they are paying too much for transactions, are now more aware that there is something they can do about it. Setting up a commission recapture programme can rebate considerable sums in commission paid. Russell Investment ...
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Features
Business pioneers
There was no fanfare to announce the birth of commission recapture story in the US. It goes back to 1986, to two almost platitudinous observations: A Department of Labor pensions bulletin which commented that broker commissions are an asset of the pension plan and that the administrator of the plan ...
