Nick Wade from Northfield and the Curious Quant discuss the impact of COVID on risk modeling frameworks, assumptions, and how the recent movements in asset markets may or may not impact the short and long-term assumptions of asset owners.
COVID Popup Podcast: Curious Quant and Nick Wade discuss if risk models have something to say about pandemic risk.
COAERS finds rich pickings in PE secondaries; warns of retail risk DRA
The exit drought and extended holding periods in private equity is causing mounting pain for many LPs. But for Austin-based COAERS, it is providing ample market to pick up bargains in the secondary market. Sarah Rundell spoke to CIO David Kushner.
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Alternative benchmarks attractive for Strathclyde
For many trustees, fundamental indexing is still too much of a leap to risk any serious asset allocation. But the £11 billion Glasgow-based Strathclyde Pension Fund, one of the largest UK local authority schemes, plans to invest in the strategy. The idea is to track an equity index that weights companies according to their economic
Governance, Gonski style
Since becoming chair of the $80-billion Future Fund in March, David Gonski has set an agenda to act like a public company chair. An element of that vision is to very clearly delegate to management. “The general manager has been elevated to a managing director and the six-monthly announcements will be his,” he says. Another
Risk parity manages risk regret
The risk parity approach to portfolio construction might not deliver results in a “bull stockmarket,” but remained a “robust and rigorous” methodology which also “managed risk regret over time.” These are the views of Wai Lee, chief investment officer of quantitive investment at New York-based fund manager Neuberger Berman, who was recently named winner of
Modern portfolio theory drives Volkswagen Stiftung
The €2.3-billion ($3-billion) assets at the Volkswagen charitable foundation in Germany are powered by portfolio theory and diversification. The foundation is so keen on modern portfolio theory that its founder Harry Markowitz gets a mention in its annual report. Chief investment officer Dieter Lehmann says he is sure “that his correlation analysis isn’t correct at
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