Academics from Columbia and Yale Universities examine the expected and actual returns of US university endowment portfolios and the role of alternatives in generating alpha.
To access the paper Investment beliefs of endowments
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Investment beliefs of endowments
alpha, alternatives, Andrew Ang, Columbia University, endowment, hedge funds, Private Equity, Yale university
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GIC, Temasek eye trillions of growth in climate adaptation market
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.
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Investors add to credit cycle
Reaching-for-yield — the propensity to buy riskier assets in order to achieve higher yields — is believed to be an important factor contributing to the credit cycle. This Harvard Business School finance working paper analyses this phenomenon in the corporate bond market. The paper’s authors Bo Becker and Victoria Ivashina show evidence for reaching for
Low vol strategies
can go global
S&P Dow Jones Indices’ researchers take a closer look at the long-term effectiveness of low volatility strategies in this paper. Aye Soe, S&P’s director of index research and design, analyses the low-volatility effect in the US equity market, with a focus on the common properties of various low-volatility strategies. Drawing from the extensive academic literature
New ways to calculate portfolio weights
This paper presents two simple algorithms to calculate the portfolio weights for a risk parity strategy, where asset class covariance information is appropriately taken into consideration to achieve “true” equal risk contribution. Previous implementations of risk parity either (1) used a naïve 1/vol solution, which ignores asset class correlations, or (2) computed “true” risk parity
How to find a safe haven in Europe
MSCI looks at how equity investors can find European stocks that offer some protection against the current volatility buffering markets. Zoltán Nagy and Oleg Ruban examine how the Barra Europe Equity model (EUE3) can be used to help identify stocks that are less sensitive to the unfavorable movements in troubled countries. Using the covariance matrix
Demystifying equal weighting
The idea of accessing risk premia through the use of index-based funds and ETFs has been gaining momentum in recent years. Risk premia indexes aim to reflect the equity premia of stock characteristics such as value, size or momentum. Among the risk premia indexes, equally weighted indexes are some of the oldest and most well
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