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When factors disagree

Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums. We find that the premiums associated with these strategies tend to shrink, sometimes even to zero, in these periods of factor disagreement. Enhanced factor strategies, on the contrary, are explicitly designed to avoid stocks that are unattractive on other established […]
Haki CrisdenSeptember 30, 2014
Opinion

Are your managers as active as you think they are?

Measuring how active managers actually are is a useful tool for investors. A metric called “active share” can be used by institutional investors to assess active fees, measure and monitor managers styles and maintain portfolio diversification. By Thusith I. Mahanama, chief executive of Assette. Seven years ago, professors Martijn Cremers and Antti Petajisto introduced a […]
Amanda WhiteSeptember 26, 2014
Uncategorised posts

Investors alter allocations because of climate risks

A number of large institutional investors, including AP1, the Environment Agency and AustralianSuper, made changes to their strategic asset allocation as a result of Mercer’s 2011 study on climate risks, and now the consultant is working with a new raft of investors to assess forward-looking climate change scenarios against their current allocations. Meanwhile one of […]
Amanda WhiteSeptember 24, 2014
Sponsored Content

Factor investing, why implementation is important

Factor investing is becoming more popular. Professional investors are increasingly considering investing strategically in certain parts of the financial market which realize better risk-adjusted returns over longer periods. The question is: “How can investors best implement this strategy?”. Read the full article.
Haki CrisdenSeptember 19, 2014
Investor Profile

The challenges of a low-carbon mandate

AP4 already has US and emerging markets low-carbon mandates and plans to invest up to $1 billion across various regions. Mikael Johansson, senior portfolio manager global equities, AP4 explains how the concept of responsible investment can be integrated into the investment process of a large pension fund and the challenges in implementing low carbon mandates. […]
David RowleySeptember 19, 2014
Asset Classes

Costs cast increasing doubt over hedge fund relevance

The inability to scale hedge fund exposures and risks, has led many large investors, like CalPERS this week and ATP last year, to exit their hedge fund programs. Complexity continues to be a drain on the relevancy of hedge funds, but importantly cost is driving the agendas of these investors. As AQR’s Cliff Asness admits, […]
Amanda WhiteSeptember 17, 2014
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