To Time or not to Time Factors? Factors, Quant & Systematic 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 […] Read More
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 […] Read More
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. Read More
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. Read More
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. Read More
In Search of Temperament MarketFox If you ask some of the most well-regarded investors what it takes to become a good investor, then they often tell you it is more about temperament than any technical proficiency. In this new series, MarketFox columnist Daniel Grioli tries to demystify this illusive concept and narrow it down to a few quantifiable attributes. Read More
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. Read More
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. Read More
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. Read More
