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Integration of Assets and Liabilities in Investment Program Management

After the dramatic market events of the last decade, defined benefit plan sponsors are facing stricter accounting and regulatory oversight, and seek to control funded status volatility. Focusing on a plan’s liabilities, when contemplating asset decisions, is a good way to accomplish this task. Click here to download the report

March 24, 2011

The Path Forward: Designing the Ideal Defined Contribution Plan

The Path Forward: Designing the Ideal Defined Contribution Plan poised the question: “How would you design the ideal workplace DC plan if you were freed from existing laws, structures, history and standard practices?” This paper shares the 10 characteristics that plan sponsors and consultants believe would define the ideal DC plan structure. Click here to […]

March 24, 2011

Research

Asset allocation and asset pricing in the face of systemic risk

This paper provides a detailed overview of the current research linking systemic risk, financial crises and contagion effects among assets on the one hand with asset allocation and asset pricing theory on the other hand.

March 23, 2011

Research

Volatility cycles of value stocks

This MSCI research examines the volatility cycle of value stocks, shedding light on the changes in relative contributions of value and non-value portfolios to total risk.

March 16, 2011

Research

Momentum in Japan works well: Asness

By studying value and momentum in Japan as a system, because they are strongly negatively correlated, this paper by AQR’s Cliff Asness argues that despite popular belief, momentum “works quite well” in Japan.

March 16, 2011

Research

Making sense of China’s excessive foreign reserves

This analysis suggests that without a well-developed domestic financial market, the value of the Chinese currency (renminbi) may significantly depreciate, instead of appreciate, once the Chinese government abandons the linked exchange rate and the massive amount of precautionary savings of Chinese households are unleashed toward international financial markets to search for better returns.

March 2, 2011

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