The Latest
Analysis

Big data, big opportunities: investors wake up to analytics

As pension funds act more like asset managers, with internal investment responsibilities, they should focus on the competitive advantages to be gained from data and analytics.   The healthcare industry has seen a 20 per cent decrease in patient mortality by analysing streaming patient data. The Telco industry has seen a 92 per cent increase […]
Analysis

CheckRisk rethinks the risk business

Beta-driven equity investors may currently be taking far greater risks than they are getting paid for when seeking broad market exposure, British risk expert Nick Bullman warns. Bullman, the founder of specialist risk consultancy CheckRisk, has developed a methodology using macroeconomic research along with econometric and behavioural risk inputs to identify what he describes as […]
Analysis

Risk modelling
requires review

Advocating the use of financial models a six-year-old could understand and warning that the dogmatic belief in overly complex and unrealistic models contributed to the financial crisis were some of the challenging views put to the attendees of the recent CFA Institute’s annual conference. Throwing down the gauntlet was GMO asset-allocation team member James Montier, […]
Research

Investing for the long run

Long‐horizon investors have an edge. This paper argues to take advantage of the long-run investors should institutionalise contrarian behaviour by adopting a rebalancing rule, and redefining the concept of risk away from just volatility.
In Conversation

MSCI improves factor risk modelling for equities

The most recent Barra US Equity Model, USE4, contains some important innovations in factor risk modelling, including the introduction of country risk factors, volatility regime adjustments, and eigenfactor risk adjustments. Amanda White spoke to executive director and head of equity factor model research at MSCI, Jose Menchero, about what that means.
News

CalSTRS to get nimble for risk…

CalSTRS will explore the potential of risk-oriented strategic allocation management and wider asset class ranges, as it sets out its investment business plan for 2010-11, which also includes collaborating with UC Regents and CIC about improvements to Barra One – its risk management system – and potentially further insourcing. Each fiscal year CalSTRS sets out […]