Latest Special Reports – Page 89
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Special Report
Risk & Portfolio Construction: ‘Our objective is clear’
Often when an investor starts to explore ‘smart beta’ – alternative weighting systems for equity portfolios and benchmarks – it signals some dissatisfaction with traditional active management, traditional market cap-weighted benchmarks, or both. Not so in the case of the Rabobank Pensioenfonds.
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Special ReportRisk & Portfolio Construction: A smart-beta framework
Martin Steward speaks with Lombard Odier’s Jérôme Teiletche, co-author of a new paper that compares alternative equity portfolio construction techniques within a common framework
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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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Special Report
The Euro-Zone: From imminent catastrophe to exuberant recession
One of our six European chief economists’ views, from BNP Paribas Investment Partners’ William De Vijlder, sums up a theme of this month’s special report: “Depending how one looks at it, a lot or very little has changed in the last nine months.”
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Special Report
The Euro-Zone: ‘Whatever it takes’?
It is almost a year since Mario Draghi’s calming words for the euro-zone, but Daniel Ben-Ami reminds us that they only buy time for much more difficult fundamental reforms
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Special Report
The Euro-Zone: A dangerous mis-diagnosis
Michael Howell argues that austerity is the wrong solution for the euro-zone, and that bad debts need to be socialised or aggressively written-down to free-up seized credit markets
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Special Report
Beyond microfinance
Nina Röhrbein finds evidence for a sea-change in impact investing with more varied products in developed as well as emerging economies
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Special Report
Top 400 Asset Managers: Active and passive come together
Far from being a threat to traditional active management, smart beta could represent a great opportunity for active managers, argues Noël Amenc
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Special Report
Risk & Portfolio Construction: The only way is up?
Jennifer Bollen looks into what rising bond yields would mean for risk-parity portfolios
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Special Report
Risk & Portfolio Construction: ‘All equities are black boxes’
In January 2011 the PNO Media Pension Fund terminated its US and European equity enhanced-index mandates with Barclays Global Investors and brought the assets in-house. However, it did not go passive – or at least, not in the sense in which most of us would understand the term.
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Special Report
Risk & Portfolio Construction: Time to diversify
Investors diversify across asset classes, risk factors and investment styles. Maha Khan Phillips asks if trading time horizon brings anything extra to the process
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Special Report
Risk & Portfolio Construction: Always in style
Four or five equity-investing ‘styles’ appear to be systematically rewarded over time. Maha Khan Phillips asks if it is possible to use them to diversify a long-only portfolio
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Special Report
Risk & Portfolio Construction: Taming alpha, harnessing beta
Rachel Fixsen looks at how a more sophisticated understanding of hedge fund risks is changing the way investors integrate these strategies into their portfolios
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Special Report
Top 400 Asset Managers: Global assets back on the rise
Total AUM of top 400 managers = €39.2trn (2012 = €36.3trn; 2011 = €36.2trn). Increase in AUM of 8% over 2012. BlackRock is the largest manager (€2.9trn) and accounts for 7.4% of overall assets. Top 100 managers account for 83.7% of the assets (€32.8trn).
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Special Report
Longevity: Living longer, costing more
In 1985, for every person turning 65, there were 10 new people of working age. According to estimates from the UN, by 2040, for every person turning 65, there will be less than one additional person in the 20-64 years age groupage
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Special ReportLongevity: The great age of divestment
Martin Steward looks at evidence for the demographic ‘asset meltdown’ theory, some investment strategy implications – and the major caveats attached to putting too much store in it
