The underperformance of the CalPERS’ risk-managed absolute return strategy indicates the portfolio may be too heavily weighted towards macro, currency, commodity or directional risk than the investment committee originally set out to achieve, according to a review by Wilshire.
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.
Stock exchange merger would end Australia’s ‘inward focus’
Australia’s financial sector would be strengthened if the proposed merger between its national stock exchange and the Singapore Exchange gained political approval, the Australian Centre for Financial Studies (ACFS) has argued.
Coming out for gay and lesbian themes
With the return to favour of top-down equities management and renewed focus by pension funds on their asset allocation and beta exposures, there has consequently been a resurgence in thematic investment styles and products.
Sustainability among key industry’s tagged for China’s growth
It’s not very salubrious but it’s secure. The four-star Jingxi Hotel in Beijing (pictured), which is owned by the People’s Liberation Army, hosted the annual plenum of the Communist Party’s Central Committee to draft the country’s next five-year plan.
Asian equities no longer an asset class?
One of the ironies about the way big pension funds are rethinking their asset allocation strategies is that regional specialisation appears to be becoming less popular, even for the world’s fastest-growing region.
