The risk parity approach to portfolio construction might not deliver results in a “bull stockmarket,” but remained a “robust and rigorous” methodology which also “managed risk regret over time.” These are the views of Wai Lee, chief investment officer of quantitive investment at New York-based fund manager Neuberger Berman, who was recently named winner of … Read more
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
Top1000funds.com is the market leading news and analysis site for the world’s largest institutional investors. It focuses on leading the global investment industry to continuous improvement through case studies of best practice in governance and decision making, portfolio construction and efficient portfolio management, fees and costs, and sustainable investing.
The publication pushes the industry to question whether status quo processes and behaviours to tackle risks and opportunities will be sufficient in the future, and actively campaigns for diversity, sustainability, transparency, innovation and better alignment of fees in the investment industry.
Top1000funds.com is read by investment professionals in more than 40 countries.
