It’s time for pension funds to show some leadership on funds management fees, to demonstrate that they are at the top of the food chain – they have the check book. Roger Urwin, global head of investment content for Watson Wyatt Worldwide, believes pension funds have, to a large extent, been captive to the fee structures of their agents. He spoke with GREG BRIGHT.
Portfolio concentration and the fundamental law of active management
In this paper Joop Huij from the Rotterdam School of Management, Erasmus University and Jeroen Derwall from Tilburg University, School of Economics show the observed relation between portfolio concentration and performance is mostly driven by the breadth of the underlying fund strategies, not just by fund managers’ willingness to take big bets.
Ones and Zeroes: AustralianSuper tackles correlations
In the final days of the hedge fund boom, the A$30 billion ($27.8 billion) AustralianSuper stepped up its investigation of the market returns embedded within the alternative strategies. Now, two years and a devastating financial crisis later, the big defined contribution fund has cut back its hedge fund program and begun analysing the true power of beta in its portfolio. SIMON MUMME reports.
In defence of optimisation
Sebastien Page, senior managing director of the portfolio and risk management group at State Street Associates is excited about his upcoming paper “In Defense of Optimization: The Fallacy of 1/N”, which responds to the increasingly popular notion that equal weighted portfolios outperform. He spoke with Amanda White about the “1/N paper”, and how he advises institutional investors to incorporate best practice macro issues in their decision making.
Norway SWF posts booming quarter
Norway’s sovereign wealth fund, the $456.4 billion (NOK 2,549 billion) Government Pension Fund – Global, returned 13.5 per cent for the quarter due to improved liquidity in fixed income instrument and climbing equity markets, as the fund continued diversification within emerging markets.
Asia-Pacific’s first life settlement swap
The $15.2 billion ($11 billion) New Zealand Superannuation Fund has ploughed $80 million into the Asia-Pacific region’s first life settlements swap, in a deal organised by Credit Suisse’s Sydney-based fixed interest investment banking team.
