Investors’ increasing expectation of inflation risk in Europe, coupled with monetary policy implementation challenges at the European Central Bank, is an argument for a greater allocation to strategies that perform well in inflationary markets, according to a research note by AQR Capital Management. (more…)
Securities watchdog, the International Organization of Securities Commissions (IOSCO), has revamped its structure to better identify market risks and develop regulatory standards for capital markets. (more…)
A discussion paper by APG’s Roderick Molenaar, and Tilburg University’s Kim Peijnenburg and Eduard Ponds, looks at whether a low funding ratio of a pension fund can creative incentives for individuals to leave this fund.
This research by MSCI provides “material extensions” of the standard stress testing methodology of portfolios. It provides a quantitative method to modify asset allocation weights in a stress scenario, and a new paradigm for translating extreme events into asset class scenarios.
At the Q Group Spring seminar, this paper by Sudheer Chava, College of Management, Georgia Institute of Technology finds that investors demand significantly higher expected returns on stocks excluded by enviornmental screens widely used by socially responsible investors, compared to firms without environmental concerns. (more…)
It’s not until you’re actually in the country that the real depth of the funding problem in US state pension plans becomes clear, as does the truly arduous environments that the investment professionals at those funds are operating within. (more…)