This research by MSCI provides “material extensions” of the standard stress testing methodology of portfolios. It provides a quantitative method to modify asset allocation weights in a stress scenario, and a new paradigm for translating extreme events into asset class scenarios.
At the Q Group Spring seminar, this paper by Sudheer Chava, College of Management, Georgia Institute of Technology finds that investors demand significantly higher expected returns on stocks excluded by enviornmental screens widely used by socially responsible investors, compared to firms without environmental concerns. (more…)
It’s not until you’re actually in the country that the real depth of the funding problem in US state pension plans becomes clear, as does the truly arduous environments that the investment professionals at those funds are operating within. (more…)
The creation of wealth, or alpha, is limited if your strategy is the traditional allocation between asset classes, instead investors need to embrace idiosyncratic risk to achieve wealth generation, which is at odds with modern portfolio theory’s ambition. Chief investment officer of the Institute for Advanced Study, Ashvin Chhabra (pictured), explores this in his latest article. (more…)
In contrast to the standard paradigm about momentum and reversal in markets being caused by agents reacting wrongly, new research shows that these phenomena can arise in markets with rational agents. (more…)
The CPPIB is considering the next phase in its total portfolio approach to managing assets, allowing for a more dynamic funding of investments from the policy portfolio, as the nature of the assets in the real portfolio change. (more…)