The $1.3 trillion Government Pension Investment Fund of Japan will use factor investing, or smart beta, as a third way of implementing equity mandates, alongside active and passive, following a six-month research project conducted by MSCI that investigated how to best implement the growing interest in factor exposures. The research project conducted by MSCI
Two finance professors at the London School of Economics have introduced a new way to measure the amount of risk arbitrage in markets. Their novel measure, dubbed “comomentum”, exploits time variation in how momentum stocks excessively “comove” together to reveal how crowded the classic price momentum trading strategy is at any point in time. They
Institutional investors act like momentum investors, chasing returns, even over longer time horizons according to Asset Allocation and Bad Habits, a new research paper that looks at the impact of past returns on asset allocation. The paper commissioned by Rotman-ICPM and authored by Amit Goyal professor at Univeriste de Lausanne, Andrew Ang professor at Columbia Business
The ultimate combination of value and momentum strategies depends on the investors’ time horizon, with a new institutional theory rationally explaining these anomalies by investor flows. Dimitri Vayanos, professor of finance at the London School of Economics explains why this theory can add to the practical debate of what is the best asset mix for
The rise of smart beta has just got another boost thanks to a study commissioned by Norway’s ministry of finance for its Government Pension Fund Global. It asked index provider MSCI to look into the feasibility of running smart beta strategies for large portfolios. Very few institutions with the size of GPFG’s $400-billion equity portfolio
APG, which manages €314 billion ($480 billion), has always been innovative. Ronald Wuijster earned a reputation as somewhat of a pension rockstar when he introduced the idea of intellectual property rights as an asset class and bought the music rights to a number of high profile musicians from the contemporary to classical. That investment, which
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