The status quo of ‘passive’ equity investment, ranking companies by market capitalisation, is delivering lower returns for higher volatility than a beta strategy which blends a cap-weighted approach with two of its competitors – minimum variance and fundamental indexing. Michael Bailey spoke to Lazard Asset Management’s Asia Pacific chief, Rob Prugue, about a paper co-written with Research Affiliates which claims to prove it is so.
The Harvard Management Company (HMC) is looking to fill 12 new IT positions across trading, risk and portfolio management in a move that strengthens its internal investment support structure even more.
The chief investment officer and senior investment professionals at the $88 billion Teacher Retirement System of Texas can earn up to 125 per cent of their base salary in performance compensation, under a new version of the fund’s pay rules.
The $27.3 billion Tredje AP-Fonden (AP3) of Sweden has instituted a search for active fixed income managers to run portfolios of US, European and UK credit.
Pension funds in Australia allocate a higher proportion of assets to shares than pension funds in any other country, according to a survey which looked at the asset allocation of pension funds in selected OECD countries.
In his editorial for the November/December issue of the Financial Analysts Journal, Richard Ennis confidently consigns the term “uncorrelated return” to the scrap heap of asset allocation lingo, reminding readers there is no free lunch in asset allocation, and that in order to collect the risk premium, investors must also bear the risk.