Pension Fund Strategy – Page 163
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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
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 Report
Risk & Portfolio Construction: 21st-century portfolio construction
Dan Mikulskis makes the case for a risk-parity approach to constructing portfolios of liquid risk premiums
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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 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: 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
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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News
Airline SAS to abandon DB ahead of accounting changes
EUROPE – Nordic airline shifts employees towards DC funds, cites impact of IAS19.
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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 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 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 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 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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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 ReportPortfolio Construction: Preparing for all probabilities
Emma Cusworth discusses strategic asset allocation weights adjusted for the economic cycle
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Special ReportPortfolio Construction: Three Blind Mice
Accounting for fat tails of individual instruments is not the same as managing those tails at portfolio level. Svetlozar (Zari) Rachev and Georgi Mitov explore how advanced copulas might address the problem of fat tails, dependence models and portfolio risk
