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.
Beyond asset classes: Active credit becomes the test case for Florida’s portfolio evolution
Florida State Board of Administration has built an active credit portfolio spanning public and private markets, CIO Lamar Taylor says the initiative could be the first step in a broader shift away from traditional asset-class investing towards a framework centred on return drivers and risk exposures.
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Protected: Timing and macro concerns most common reasons to avoid European distressed debt
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Longevity is key to Dutch pension reforms
As the well-respected Dutch pension system sits in a state of reform limbo, long-time trustee and MKB-Nederland representative in the recent round of negotiations on pension reform, Benne van Popta, has particular ideas on how to improve the system. The combination of low interest rates, an ageing population and increasing life expectancy has prompted a
Poll Results : Should your internal investment team be:
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Tail risk and hedge fund returns
This paper by academics at Erasmus University and the University of Chicago shows that hedge funds exhibit persistent exposures to extreme downside risk, and that tail risk is an important determinant of the time-series and cross-section variation of hedge fund returns. Further it concludes that these results are consistent with the notion that a significant
NYCRS CIO focuses on the achievable
Reducing equities, expanding the resources and changing the RFP process are on the agenda of New York City Retirement System (NYCRS) chief investment officer, Larry Schloss, as he makes structural and investment changes to turn the $123-billion fund around. Two and a half years in to what is most likely only a four-year tenure –
USD 10% undervalued, says State Street
Investors should reconsider their currency hedging strategies as an undervalued US dollar is predicted to strengthen according to Colin Crownover, State Street Global Advisors global head of currency management. The US dollar is as much as 10 per cent undervalued relative to other major currencies, says Crownover, who also forecasts that the economic-growth gap between
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