PORTFOLIO CONSTRUCTION

The world’s currency markets are going through their biggest upheaval for almost 40 years since the fixed-rate exchanges started to end for Western countries. Currency expert, Ronald Leisching, of US-based Mountain Pacific Group, has studied the likely scenarios for pension funds and how they can cope in the new environment.

This paper by RogersCasey’s Ryan Dembinsky and Srivatsa Kilambi demonstrate the “inflation/deflation continuum” is a way of assessing an investment program’s vulnerability to the dual threats, and competing forces, of inflation and deflation. The paper presents a framework whereby investors can plot their existing asset classes and assess where there [...]

Professor of finance at the EDHEC Business School and member of the EDHEC Risk Institute, Abraham Lioui, looks at the spillover effect that counter-cyclical regulation affecting one part of the market, banning short-selling, has on the broad market. By examining the effect of the ban on short-selling in 2008 on [...]

This new research from the Pensions Institute at the Cass Business School studies the effect of decentralised investment management, including the use of multiple competing managers in specialist asset classes, on the risk and performance of pension funds.

In this paper Joop Huij from the Rotterdam School of Management, Erasmus University and Jeroen Derwall from Tilburg University, School of Economics show the observed relation between portfolio concentration and performance is mostly driven by the breadth of the underlying fund strategies, not just by fund managers’ willingness to take [...]