Wouter Klijn - Investment Innovation Institute

[i3] Insights Year in Review – Podcasts

To Time or not to Time Factors?

It has sometimes been portrayed as the Battle of the Quants. For some years now, AQR founder Cliff Asness and Research Affiliates founder Rob Arnott have been at loggerheads over the question of whether you can time factors or not. And it is a question that has occupied the minds of many asset owners, not […]

Securitisation and the Willingness to Repay

Private & Alternative Markets, Women in Finance

Securitisation was almost thrown out with the bathwater in the aftermath of the global financial crisis, as mortgage-backed securities (MBS) and collateralised debt obligations (CDO), containing sub-prime mortgages, almost brought down the financial system. But since then the securitisation market has undergone significant change, both in regulations and attitudes towards risk. And in a world […]

Future Fund Sells Illiquids Ahead of Volatility

Asset Allocation & Strategy, Asset Owners, Chief Investment Officers, Financial Crisis

The Future Fund sells $5 billion in illiquid assets as it prepares for more volatility ahead.

Roger Urwin, Global Head of Investment Content, Willis Towers Watson

Don’t Underestimate Investment Beliefs: Urwin

Asset Allocation & Strategy

Establishing a set of investment beliefs can sometimes feel as stating the obvious, but we should not underestimate the effect this has on an organisation’s efficiency and discipline, Roger Urwin says.

Outlook Grim for First DC Retirees

Asset Allocation & Strategy, Retirement

The first cohort of DC members is nearing retirement and already the initial figures show that their pension savings are falling short, says David Buckle, Head of Investment Solution Design, Fidelity International.

Michael Flycht - Investment Innovation Institute

PKA raises Questions about Factors

Asset Allocation & Strategy, Asset Owners, Chief Investment Officers, Factors, Quant & Systematic

Danish pension fund PKA was one of the first institutional investors to implement a factors-based investment approach. But the recent dismal performance of these strategies is testing the faith of the fund, Deputy CIO Michael Flycht says.

Kathryn Kaminski - Investment Innovation Institute

February Didn’t Kill Crisis Alpha

Financial Crisis, Innovation, Private & Alternative Markets, Women in Finance

The Crisis Risk Offset approach to constructing portfolios has gained some popularity in the US in recent years, but the surprising performance of trend-following strategies in February this year led some people to question the approach. Kathryn Kaminski, who coined the term crisis alpha, examines the evidence.

PGGM Questions Over-diversification and Benchmarks

Asset Owners, Factors, Quant & Systematic, Leadership & Management

Most asset owners are over-diversified and rely too much on market capitalisation weighted benchmarks for them to deliver optimal long term pension benefits, Dutch pension fund PGGM says.