The performance of the hedging portfolio and a 43 per cent allocation to interest-rate sensitive bonds in the investment beta portfolio of the DKK352 billion ($65 billion) ATP were the main contributors to the group increasing pension reserves by one third last year.
Ibbotson reveals the ABCs – alphas, betas and costs – of hedge funds
Hedge funds, in aggregate, have generated positive alpha in the past 11 years. This finding, made by Roger Ibbotson, founder of Ibbotson Associates and Professor of Finance at Yale University, proves the strategies can resist powerful market declines but often fall short of providing absolute returns to investors. He spoke with Simon Mumme about the ABCs – alphas, betas and costs – of hedge funds.
CalPERS rates reputational risk above investments
Risk to reputation is more important than risk to investments according to a survey of internal staff at CalPERS completed as part of its governance/risk management initiative.
Ibbotson says Brinson ‘not quite right’ on returns
Portfolio specific asset allocation policy and portfolio security selection, timing and fees contribute equally to the variation of portfolio returns according to new research by Professor Roger Ibbotson of Yale School of Management, progressing earlier work by Brinson et al which attributed more than 90 per cent to asset allocation.
CalSTRS expands active/passive decision making
CalSTRS will double the ranges of its active/passive global equities allocations in a bid to enable investment staff to allocate funds tactically across active and passive rather than be forced to rebalance to strategic asset allocations.
SEC reforms aim to boost liquidity
Associate director at RogersCasey, Carolyn Cross examines the SEC-approved money market fund reforms, which aim to bolster liquidity, increase credit quality, and improve the flexibility and transparency of operations to ensure money market funds can weather the next crisis, summarising key provisions of the new rules and how they impact investors.
