The 14 institutional investors participating in the climate change strategic asset allocation study, a collaborative between Mercer, Carbon Trust and the IFC, will all receive individual portfolio scenario analysis of how physical and policy climate change-related events could affect their portfolio at an asset allocation level.
CalPERS sharpens risk, liability tools
After watching the simultaneous declines of its market value and funded status during the financial crisis, the $204.8 billion CalPERS will conduct a full review of the methodologies underpinning its asset liability management (ALM) process.
Wilshire paints dire picture for state retirement systems
Wilshire Consulting’s annual report on US state retirement systems reveals near-universal underfunding, leavened only slightly by the 19.5 per cent rally in global equity markets in the eight months since its cut-off date.
OMERS overwhelms with underperformance
OMERS Strategic Investments, the investment entity of the C$47 billion ($45 billion) Ontario Municipal Employees Retirement System (OMERS) focused on co-investment opportunities in private markets, has dramatically underperformed its benchmark for the year.
Do hedge funds’ exposures to risk factors predict their future returns?
This research examines hedge funds’ exposures to various financial and macroeconomic risk factors with the results indicating a positive and significant link between default premium beta and future hedge fund returns as well as a negative and significant link between inflation beta and future hedge fund returns.
Risk parity becomes bittersweet flavour of the month
A risk parity approach to asset allocation is flavour of the month, in spite, and because, of the leverage it requires. Amanda White explores the topic.
