ANALYSIS

Predicting equity returns with rising rates

The impact of higher rates on equity returns is a concern for investors and to some extent an unknown. But by applying the concept a threshold correlation, as done with bond portfolios with a duration targeting framework, it is possible to better understand the complex interactions between equity returns and interest rate movements. The latest... Read more »
EDITORIAL

Equity risk expectations – a response to short-termism

Solving short-termism is being held up by the institutional investment industry as some sort of performance saviour. There have been many attempts at uncovering the problems of, and offering solutions to, short-termism with numerous reviews, conferences and papers discussing the need for long-term investing. These include the incentives and behaviour of asset owners, asset managers... Read more »
ANALYSIS

Managing liquidity and rebalancing constraints

This extension of previous research by Morgan Stanley’s Martin Leibowitz and Anthony Bova provides an analysis of the relationships between rebalancing liquidity, portfolio flows, and diversification into illiquid assets.
ANALYSIS

Restrict rebalancing to US stocks and bonds: Morgan Stanley

A more efficient way to rebalance highly diversified multi-asset portfolios – which contain illiquid assets – could be to restrict the rebalancing to exchanges between US stocks and US bonds only, according to new analysis by Morgan Stanley.
INVESTOR PROFILE

CalSTRS overlays its fuzzy buckets

After deciding at the last investment committee meeting to employ a new way of evaluating portfolio risk which overlays risk across asset classes, rather than replacing asset classes with risk categories, CalSTRS now just has to work out how to do it. Amanda White spoke with chief investment officer Chris Ailman about the fund’s journey... Read more »
NEWS

CalSTRS plugs holes in neat buckets with risk overlays

CalSTRS will employ a new way of evaluating portfolio risk which overlays risk across asset classes, rather than replacing asset classes with risk categories, and introduces six broad risk factors.