The €2.3-billion ($3-billion) assets at the Volkswagen charitable foundation in Germany are powered by portfolio theory and diversification. The foundation is so keen on modern portfolio theory that its founder Harry Markowitz gets a mention in its annual report. Chief investment officer Dieter Lehmann says he is sure “that his correlation analysis isn’t correct at … Read more
Many of the countries with the largest oil reserves also boast the largest sovereign wealth funds (SWFs). And yet African producers, like newcomer Ghana, Angola, and Nigeria which has been pumping oil since the 1950s, haven’t saved much of their oil revenue. Now, in an effort to replicate the long-term growth of funds like Norway’s … Read more
From a risk management perspective, tail risks and return distribution asymmetries of investments are important to analyse. Norges Bank Investment Management (NBIM) in this note describes a modelling approach that addresses some of the weaknesses of standard risk models. It uses the model internally as a complement to standard models to evaluate tail risk in foreign-exchange … Read more
The head of infrastructure at Australia’s $80 billion Future Fund has cited regulatory risk in Europe and the United Kingdom as reasons to be wary about infrastructure investment in the region. Raphael Arndt, the Future Fund’s head of infrastructure and timberlands, told a Sydney conference this week that he was particularly concerned with the situation … Read more
This research paper by MSCI defines macro-economic risk as the change in asset value due to persistent shocks to real economic growth. This definition underscores the role of long horizons in macroeconomic risk and the principal issue facing investors: how should asset allocation respond to large macroeconomic shocks, given that their consequences are likely to … Read more
Austria is a country with a strong tradition of innovation. That can be sensed through its nineteenth century industrial emergence to Gustav Klimt’s secessionist art movement in turn-of-the-twentieth-century Vienna and the Austrian school of economics that later spawned monetarist pioneer, Friedrich Hayek. The APK pension fund is these days adding to the list of those … Read more
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