The latest
Research

Skulls, financial turbulence and risk management

Based on a methodology introduced in 1927 to analyse human skulls and later applied to turbulence in financial markets, this study by Mark Kritzman and Yuanzhen Li, published in the Financial Analysts Journal, shows how to use a statistically derived measure of financial turbulence to measure and manage risk and to improve investment performance.
 November 24, 2010
Research

Investing in inflation protection

This paper by Anand Iyer and Jennifer Bender from MSCI, acknowledges that the current tug-of-war between inflation and deflation has created considerable confusion for investors, and explores these characteristics of inflation-protected bonds to see if, and to what extent, they have contributed to portfolio diversification and provided investors with protection from inflation and deflation.
 November 17, 2010
Research

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.
 November 10, 2010
Research

Portfolio choice with illiquid assets

New research by Columbia University’s Andrew Ang, Dimitris Papanikolaou from Northwestern University, and Mark Westerfield from the University of Southern California, shows that illiquidity, modelled as the ability to trade only at randomly occurring discrete points in time, has large effects on policies and optimal asset allocation.
 November 3, 2010
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