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Quant models limber up for change

Active quant strategies came in for criticism after the global financial crisis, with a number of models seen as lacking both the appropriate diversification and the dynamism necessary to react to major market events. While acknowledging the need to rethink quant models, global head of active equities for developed markets at State Street Global Advisor […]
SAM RILEYSeptember 7, 2012
Uncategorised posts

Collaboration keep deals on tap

As British Columbia Investment Management Corporation (BCIMC) moves towards its target of having 30 per cent of its portfolio exposed to real assets, it is seeking collaborative opportunities with similar large institutional investors. The investment manager is on the lookout for other like-minded investors and has already made significant co-investments in recent years. This year […]
SAM RILEYSeptember 5, 2012
Uncategorised posts

Defensive setting, anaemic growth

Global pension funds continue to have a defensive asset allocation, reflected in the anaemic growth in the total assets of the world’s largest 300 pension funds by less than 2 per cent in 2011, new Towers Watson research reveals. The P&I/ Towers Watson Global 300 research reveals that concerns about ongoing uncertainty in global markets […]
SAM RILEYSeptember 5, 2012
Investor Profile

Understanding complexity at BCIMC

On the first page of the British Columbia Investment Management Corporation (BCIMC) annual report is a flow chart titled “complexity and connections”, outlining how the Japanese earthquake and subsequent tsunami and nuclear disaster sent shock waves through the global economy. Understanding complexity and both the risks and potential opportunities that can arise from an increasingly […]
SAM RILEYSeptember 5, 2012
Investor Profile

CPPIB doubles logistics spend in China

The $165.8-billion Canadian Pension Plan Investment Board (CPPIB) has substantially increased its investment in logistics properties in China, doubling its funding of a partnership with the Goodman Group. It is the second time in a year that CPPIB has doubled its exposure to logistics properties in this Chinese joint venture, with its latest injection of […]
SAM RILEYAugust 31, 2012
Research

The pitfalls of risk modelling

Many portfolio managers use multi-factor models, but these are only as good as the various inputs used to construct them. MSCI looks at how flawed-model construction can result in optimised portfolios that are not efficient. The paper, Is Your Risk Model Letting Your Optimized Portfolio Down?, reveals that faulty risk models tend to underestimate risk […]
SAM RILEYAugust 31, 2012
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