The Latest

CalPERS gets dynamic in strategic plan

CalPERS aims to increase its total-portfolio risk oversight, as well as move towards more dynamic asset allocation as the fund attempts to overhaul its investment decision-making processes. This week the fund released a two-year business plan that aims to implement a risk-based dynamic asset-allocation approach by June 2014. It is the first time the $238.2-billion […]

Risk-based dynamic asset allocation

This paper proposes a unique dynamic portfolio construction framework that improves portfolio performance by adjusting asset allocation in accordance with a forecast market risk. It finds that modifying asset allocation to the market risk barometer offers investors the “promising opportunity” to meaningfully enhance portfolio performance across market environments.   To access the paper click below […]

Recipe for avoiding half-baked dynamic asset allocation

In what is lauded as somewhat of a Laurel and Hardy performance, APG’s Stefan Lundbergh and academic provocateur Jack Gray, demonstrate the disparity between ideology and action in a hypothetical dynamic asset allocation case study. But jokes aside, it highlights the misnomer in the words “best practice”, and the lack of courage in this industry. […]
Investor Profile

AP3 gets dynamic about risk

Just days before the Swedish AP3 releases its annual results, Amanda White spoke to head of asset management, deputy chief executive, Gustaf Hagerud, about the fund’s new dynamic approach to allocating risk.