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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GMO says QE2 set to hit shoals
On the eve of an anticipated second round of quantitative easing – QE2 – a number of commentators, including GMO’s Jeremy Grantham, have criticised Fed’s policy as a large net negative to the production of a healthy, stable economy. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
A 22-year love affair transforms KIC
Everyone asks Scott Kalb, the chief investment officer for the $37 billion Korean Investment Corporation, how he got the job. Scott, as his name suggests, is not Korean. Well, it’s a long story.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
GIC adopts dynamic asset allocation
The Government of Singapore Investment Corporation (GIC) has made changes to its investment policy introducing a ‘facility for medium-term strategy with regard to asset allocation’, as its allocation to developed market equities increase from 28 to 41 per cent in the past financial year.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Five big issues for all pension funds
The academic world has not really been attracted to the pension fund world as a field of study. Most academic research, by a wide margin, usually goes into the workings of the capital markets rather than the workings of the pension fund participants in those markets.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Hedging pays off for Future Fund
The Australian Future Fund’s policy of hedging its foreign currency exposures so that 80 per cent of the portfolio is held in Australian dollars has resulted in large inflows due to the AUD’s recent appreciation. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Skewed risk for CalPERS’ absolute return portfolio
The underperformance of the CalPERS’ risk-managed absolute return strategy indicates the portfolio may be too heavily weighted towards macro, currency, commodity or directional risk than the investment committee originally set out to achieve, according to a review by Wilshire.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
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