Long-horizon investors can withstand macro-economic volatility and so should tilt towards strategies that are exposed to that, including value, small cap and momentum. Oleg Ruban, vice president in the applied research team at MSCI says this validates factor-investing and factor-based asset allocation for these investors. Appropriate asset allocation requires explicit attention be paid to … Read more
Keith Ambachtsheer’s lead article in the Fall 2014 edition of the Rotman International Journal of Pension Management, takes readers through an historical and logical journey that supports the case for long-termism. Importantly he validates this with four high-profile investor case studies which demonstrate that a long-term view benefits society but also the investors, willing to … Read more
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 … Read more
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 … Read more
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 … Read more
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.
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