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Merton’s message: give up on alpha
Nobel Prize winner, Robert Merton, has thrown down the gauntlet. He claims that by focusing on a retirement income goal he can beat any competitor that is managing a 70:30 portfolio that has wealth accumulation as the goal. Do you dare take him on? The defined contribution pension management industry has it wrong, according to
Michigan looks to ETFs for ease of exposure
Customised ETFs are the new active management according to Jeb Burns the chief investment officer of MERS of Michigan which is using ETFs for about a third of the fund. Among other things its using ETFs to effectively tilt towards macro themes the team is currently researching.
Investors fail in long-term market
Our obsession with quarterly corporate earnings is a market failure, according to Colin Melvin, CEO of Hermes Equity Ownership Services, and can only be corrected by action from institutional asset owners.
Strategic asset allocation for long-term investors
This Netspar research by Hoevenaars, Molenaar, Schotman and Steenkamp studies the effect of parameter uncertainty on the long-run risk of three alternative asset classes: equity, nominal bonds and short-term T-bills.
CalPERS touts fixed income wins, gears up for TPA
At the annual review of its fixed income portfolio, CalPERS staff explain how active management, value-add strategies and the hunt for alpha are paying off, with ESG integration giving it a valuable edge and informing it to invest in companies under pressure like Boeing at the right time.
Does risk-based strategy diversification work?
This MSCI research note looks at the historical behaviour of two risk-based investment strategies and investigates their potential application in an institutional equity portfolio. Does risk-based strategy diversification work?
How to spot real ESG integration
There are many narratives from asset owners about generating value through strategies based on environmental, social and governance factors. Looking at these value-creation stories through the lens of an integrated reporting framework can separate the genuine successes from the hype.
MMT: unemployment a policy choice
Unemployment is a policy choice, according to Professor Bill Mitchell, the father of Modern Monetary Theory (MMT). He says there is no reason that unemployment should be at the current levels.
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