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What past market crashes teach us
Looking back at the portfolios of large institutional investors during and after the dot.com crash and the GFC, CEM Benchmarking, reveals commonality in the portfolios that thrived. For both events the top quartile returns were more than 2 per cent higher than the bottom quartile. Analysing the asset allocation and behaviour of investors showed two clear themes: top quartile performers had more defensive allocations pre-crash; and rebalancing is a tailwind for performance.
Value lies where precious data is stored
Organisations across the globe are collecting data, analysing and re-analysing it more and more every day. As this trend continues, data infrastructure – tangible or intangible – becomes increasingly attractive. Canada’s OPTrust cites this reality as the rationale behind the EdgeCore partnership. It thinks data is its own asset class.
Stress scenarios for
Japanese bond yields
Oleg Ruban at MSCI finds that the stories behind yield rises in Japanese government bonds matter greatly. They influence the correlation between Japanese equities and government bonds, which is crucial in determining the size and direction of the impact of these scenarios on representative portfolios in different geographical segments and asset classes. Why does this
South Korea’s NPS pivots to sustainability, dials up risks in the portfolio
After smashing the return record again in 2024, South Korea’s state pension fund National Pension Service is gearing up to reduce coal investments to promote sustainability in the portfolio, and target riskier assets to ensure sustainability in funding.
Robeco Outlook 2016
Valuations have increased, lowering the prospect of above-average returns. This holds true for risky assets in particular, but sovereign bonds will also be expensive in the scenario of subdued but expanding growth we expect in 2016. Read more »
Managing opportunities and risks: insights from the world’s largest institutional manager
Richard Lacaille, chief investment officer of the world’s largest institutional investment manager, State Street Global Advisors, spoke with Amanda White about the economy, when markets will turn and the asset allocation and strategies that will best take advantage of that.
Tail risk and hedge fund returns
This paper by academics at Erasmus University and the University of Chicago shows that hedge funds exhibit persistent exposures to extreme downside risk, and that tail risk is an important determinant of the time-series and cross-section variation of hedge fund returns. Further it concludes that these results are consistent with the notion that a significant
Constitutionality of Cuomo’s Common Fund reforms challenged
New York’s State Comptroller, Thomas DiNapoli, has hinted the constitutionality of legislation to create a board of trustees for the State’s Common Retirement Fund may be challenged.
Vive la (pension) revolution
France’s penchant for social demonstration targeted pension reform this week, with more than one million people striking over proposals to increase the retirement age from 60 to 62. The scenes could act as a warning to other countries with similar pension shortfalls.
Asset Allocation