Mercer has revamped the asset allocation of its largest group of funds and in the process refined the way it classifies types of investments into ‘growth’ and ‘defensive’. The multi-manager has also signaled an evolution towards a ‘risk premia-based’ approach to asset allocation in the future. Greg Bright reports.
Performance persistence: reverting back to normal
The latest performance persistence study by RogersCasey’s managing director, head of global portfolio solutions, Soonyong Park, which incorporates data from the volatile 2008 period, confirms the lack of persistence of returns in the equity asset management universes, and further, that it is more pronounced when long-term results are evaluated.
Short termism presents opportunities for long-term investors
There is more opportunity to capture value-added returns by focusing on the long-horizon end of the investment spectrum, than join the over-crowded short-horizon end where most investment management is conducted, according to president and chief executive of the Canadian Pension Plan Investment Board (CPPIB), David Denison.
Spillover effects of counter-cyclical market regulation
Professor of finance at the EDHEC Business School and member of the EDHEC Risk Institute, Abraham Lioui, looks at the spillover effect that counter-cyclical regulation affecting one part of the market, banning short-selling, has on the broad market. By examining the effect of the ban on short-selling in 2008 on market indices in the US and Europe the research shows a broad impact on the markets, which did not ease the downward pressure in financial markets.
CalPERS urged to pull back commodities risk
CalPERS’ internal commodities team should enforce a tracking error limit for the portfolio it manages, and prepare to boost headcount and resources as investment opportunities evolve and funds under management grow, the fund’s primary asset consultant, Wilshire Associates, found in a review.
Corporate US plans expect too much
US corporate defined-benefit plans are still severely underfunded, with an artificially high return expectation contributing to the situation, according to a report of the funding status of 308 US corporate defined benefit plans by Wilshire Consulting.
