Fantastic conversation with Igor Halperin around the application of reinforcement learning into forecasting problem, and the limits to data and understanding the world.
NZ Super cuts benchmark return expectation on US valuation concerns
A view that the US stock market is overvalued and equity risk premia will be lower over the long term has driven New Zealand Super to lower the return expectations for its reference portfolio following its recent five-yearly review of the benchmark. Co-chief investment officer Brad Dunstan also flags underweight commodity exposure as an area to address and explains why the fund remains sceptical of illiquidity premia despite seeing a growing case for private markets.
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‘Lazy’ actuaries need to look forward, not back
The answer to underfunding is a closer working relationship between actuaries and investment professionals in forecasting investment returns and setting lower discount rates, according to Karen Harris, vice-president in the capital markets research group at Callan Associates, who believes funds cannot rely on investment strategies alone to get them “out of this hole”.mrec4inarticleinline Sponsored Content
Hybrid pension plans: history, economics, features
As the trend away from defined-benefit pension funds continues around the globe, this paper by Towers Watson examines the plan design of hybrid funds looking at the risks, funding volatility, cost control and lifetime income.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Norway’s SWF makes first property investment
Norges Bank Investment Management, which manages the Norwegian $2,908 billion kroner ($500 billion) Government Pension Fund Global, has made its first property investment following approval by the Norwegian Government to invest in the asset class in March.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
The impact of scale, complexity, and service on admin costs
Using data on 90 pension funds from 2004-2008 this paper examines the impact of scale, the complexity of pension plans, and service quality on the adminstrative costs of pension funds, and compares those costs across Australia, Canada, the Netherlands, and the US. It finds that, except for Canada, large unused economies-of-scale exist.mrec4inarticleinline Sponsored Content scnative1
Rebalancing not so simple with diverse beta sources
Simple reblancing of portfolios back to strategic ranges after a market rise or fall is not as simple as you may think, according to a research note from brokers Morgan Stanley. The new investment required after a fall may be surprisingly large.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Major asset allocation review for $15b Thai fund
The $15 billion Thai Government Pension Fund is looking at a major asset allocation shift, having ridden out the financial crisis with a massive and fortuitous overweighting to bonds. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
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