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Correlations and the lesson, finally, learned
US-based quant shop AQR Capital has pioneered the notion of hedge fund beta as an investable product. With first-year performance numbers now in, Greg Bright spoke with the firm’s managing and founding principal, Cliff Asness.
What long-term looks like: Tips for structuring mandates
The third edition of FCLTGlobal’s report, Institutional Investment Mandates: Anchors for Long-Term Performance provides a toolkit for mandate processes and behaviours to reorient towards the long term, including a rethink of KPIs that asset owners can use to evaluate their managers.
Nationwide ignores disruptions, succeeds
The Nationwide Pension Fund restructured its C&D section with a strategy that slowly cut risk over time and ignored the many recent disruptions to global markets. The results were impressive.
Leverage aversion, efficient frontiers and the efficient region
This paper suggests a new specification for leverage aversion, which may better capture the unique risks of leverage. The authors also introduce mean-variance-leverage efficient frontiers, comparing them with conventional mean-variance efficient frontiers. They conclude that leverage aversion can have a large impact on portfolio choice. Leverage aversion, efficient frontiers and the efficient region
Firearms Principles provide a target
A coalition of 13 institutional investors, led by the California State Teachers’ Retirement System, has crafted principles for engaging with entities that manufacture, sell or regulate guns in a way that fosters a responsible civilian gun industry and reduces risk. The guidelines are intentionally flexible so each organisation can apply them in accordance with its own models for engagement.
The hedge fund of tomorrow: building an enduring firm
The hedge fund industry faces a transformational crisis, precipitated by external market events and worsened by the industry’s mixed record at meeting investors’ risk and liquidity expectations as well as weaknesses in the hedge fund business model. Here, a full copy of the Casey Quirk/ BNY Mellon Hedge Fund of Tomorrow report, faces and embraces
Industry vs country factors in global equity markets
The relative strengths of industry versus country factors can be of major importance for global equity portfolio managers. If country effects dominate, then primary consideration can be given to the country allocation decision. On the other hand, if global economic integration is reducing the distinctions between countries, then an industry-first investment process may be more
Australia’s LGS goes active and thrives
Just seven years after restructuring around a passive core in response to the GFC, Australia’s $8.2 billion Local Government Super has found confidence and success in active management.
Five things about maximizing factor investing performance
Although factor investing is becoming more popular, there are still plenty of questions surrounding the concept and its implementation. In Europe, the US and Asia, it is a widely debated strategy within the professional investment community. Investors are attracted by the prospect of greater diversification, higher returns and lower risk. What should investors know in
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