Gavin Cassar from The Wharton School at the University of Pennsylvania, and Joseph Gerakos at the Booth School of Business, University of Chicago, investigate the determinants and effectiveness of methods that hedge funds use to manage portfolio risk. They find that levered funds are more likely to use formal models to evaluate portfolio risk.
HowDoHedgeFundsManagePortfolioRisk
The landscape for this kind of trading has changed tremendously. Thirty years ago there was only 200 million professionally managed trading these futures contracts, today there is roughly 200 billion. When the funds ( managed futures ) pull the plug these days there is an avalanche of money hitting the exit door. As a result, volatility has increased. In addition, Commodity Futures Trading Commission growth has not kept up with the growth of the industry and they are consequently understaffed and unequipped to deal with today’s marketplace. Play at your own risk.
Singapore’s two largest asset owners, GIC and Temasek, see attractive opportunities in climate adaptation solutions – a relatively underfunded area compared to decarbonisation. The former has already made selective adaptation investments and said the opportunity set across public and private debt and equity could increase to $9 trillion by 2050.
Turnover in a portfolio reflects the extent of a manager’s long-term focus. A new report finds most equity managers replace their shares at a rate more than twice what’s thought of as ideal.
Recent reports highlight challenges sovereign wealth funds face in reconciling long- and short-term objectives – and how success in private markets comes from finding and developing talent.
New research has found that organisations and teams with more altruistic motivations for working in the investments industry are also more likely to deliver superior long-term returns.
Norges Bank Investment Management would like to see an increase in the number of company listings and suggests more flexibility from exchanges and index providers could facilitate this.
Norges Bank’s latest paper in its Asset Manager Perspective series examines the feature of “last look” in foreign exchange markets.
The investment industry should be constantly looking at the impact of technology on the status quo. Just because indexes have been defined as cap-weighted portfolios, doesn’t mean that can’t change. In fact, the evolution in portfolio management necessitates a change in thinking with regard to the definition of indexes, in particular so risk management can
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