This conversation covers some examples of the techniques deployed for thinking about decumulation using data from Hong Kong, Singapore and France.
Speaker: Raphael Sobotka, global head of flexible, risk premia and retirement solutions, Amundi
Moderator: Alex Proimos, head of institutional content, Investment Magazine
Length: 11 mins
French pension organisation UMR has launched a multi-asset thematic program that will target opportunities in Europe’s ageing economy. It’s part of a broader strategy to increase diversification in private markets where it sees secondary markets as an increasingly important tool.
CalPERS aims to increase its total-portfolio risk oversight, as well as move towards more dynamic asset allocation as the fund attempts to overhaul its investment decision-making processes. This week the fund released a two-year business plan that aims to implement a risk-based dynamic asset-allocation approach by June 2014. It is the first time the $238.2-billion
S&P Dow Jones Indices’ researchers take a closer look at the long-term effectiveness of low volatility strategies in this paper. Aye Soe, S&P’s director of index research and design, analyses the low-volatility effect in the US equity market, with a focus on the common properties of various low-volatility strategies. Drawing from the extensive academic literature
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The new low-return, high-volatility environment requires broadly diversified portfolios, dynamic decision-making and rigorous due diligence, which is beyond the internal capacity of most small funds under $10 billion, warns Russell Investment’s global chief investment officer Peter Gunning. He says smaller funds must decide if it is cost effective and even possible to internally manage investment
Asia will be a growing part of investors’ portfolios, predicts the chief investment officer of AustralianSuper, Mark Delaney. He is steering the $43-billion fund towards the Asian century with up to 45 per cent of its international equities now in emerging markets. Asia represents about half of this emerging market exposure and, despite the flight
This paper presents two simple algorithms to calculate the portfolio weights for a risk parity strategy, where asset class covariance information is appropriately taken into consideration to achieve “true” equal risk contribution. Previous implementations of risk parity either (1) used a naïve 1/vol solution, which ignores asset class correlations, or (2) computed “true” risk parity
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