Treasury inflation-protected securities (TIPS) have a relatively unique profile within fixed income portfolios, which has important implications for investors’ setting of objectives and portfolio construction. This Towers Watson article explores the different motivations for using TIPS and other inflation hedges.
This article by Dubravko Mihaljek and Frank Packer from the Bank for International Settlements, reviews the derivatives market in emerging market economies, attempting to answer some basic questions such as how big the market is, who trades, which derivatives are most traded and how it differs from mature markets.
This paper examines the investment patterns of 50 Sovereign Wealth Funds in 903 public and private firms over the period 1984-2009, and specifically the determinants of a SWF’s weight of direct private equity in their overall portfolio. The paper finds evidence that SWFs are more likely to invest in private firms in countries that have
Gavin Cassar from The Wharton School at the University of Pennsylvania, and Joseph Gerakos at the Booth School of Business, University of Chicago, investigate the determinants and effectiveness of methods that hedge funds use to manage portfolio risk. They find that levered funds are more likely to use formal models to evaluate portfolio risk.
This detailed research looks at cross-sectional and time-series cash flow performance of a large sample of private equity funds across a range of asset classes, and examines the relationship with the management contracts of those funds. It concludes, among other things, that there is some evidence that funds with lower GP capital commitments outperform.
Scientific director at EDHEC-Risk Institute Lionel Martellini, reminds investors of the difference between risk management and risk measurement, highlighting there are some limits to risk diversification.
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