I chat with Christina about her experiences starting her own firm dealing with high frequency trading strategies, and her observations about how high frequency strategies have evolved, where they are now, and where they may be going in the future.
PMT talks infra equity and how to balance stock concentration risk
Scenario testing has put inflation risk front and centre at PMT, the Netherlands’ third largest pension fund, and it's driving the investor to take stock of the inflation protection it gets from infrastructure. In an interview with Top1000funds.com, chief investment officer Hartwig Liersch unpacks the risk, as well as another initiative where it's balancing concentration risk in the equity allocation without hurting returns.
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Conservative overweighting hinders world’s largest investor
An overweight allocation to domestic bonds has not helped the world’s largest investor in the June quarter, with a massive $42 billion shaved off the assets of the ¥116,802 billion ($1.37 trillion), Government Pension Investment Fund of Japan (GPIF).mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Deflation: the taboo which needs to be examined
The funds management industry is famous for its navel-gazing. After a crisis, you can just imagine how much of it goes on. But, perhaps, that self-examination may provide more rewards if it starts to actually look at industry taboos rather than accepted practices.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
European pension funds have blinkered view of risk
The liability-hedging portfolio of European pension funds is imprecisely modelled at nearly half of the pension funds as measured in a EDHEC-Risk Institute survey.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Financial health reports essential says Mercer
After the damage of the global financial crisis, funds should be submitting themselves for voluntary financial health checks to diagnose vulnerabilities and pinpoint risks, asset consulting firm Mercer says. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Do funds of hedge funds really add value?
This paper, by Serge Darolles of Lyxor Asset Management, and Mathieu Vaissie, research associate at EDHEC-Risk Institute, looks at the performance of funds of hedge funds through the crisis, and introduces a return-based attribution model allowing for the full decomposition of funds of hedge funds’ performance.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Liquidity as an investment style
This paper by Yale School of Management Professors, Roger Ibbotson and Zhiwu Chen, shows that liquidity, as measured by stock turnover or trading volume, is an economically significant and distinct investment style, and introduces and examines the performance of several portfolio strategies.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
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