An analysis of defined benefit schemes around the world reveal they all face the same issues of severe underfunding, but what should they do about it? In recent weeks, some of the world’s largest consultants have warned of the liability blow outs facing corporates with defined benefit (DB) pension plans.
The third largest fund in the US, the $122 billion New York state pension fund, has recently been embroiled in a tale of greed, fraud, bribery and corruption, with a number of its alternative investment funds allegedly tainted by the wrong-doing of former employees of the state comptroller’s officer, including its former CIO.
In this week’s “Have Your Say” column we ask you to consider the transparency of the investments in this sector, and have your say on how funds can better monitor their investments and the people that manage them.
Institutional investors have never been market timers, but in this editorial, publisher of conexust1f.flywheelstaging.com, Greg Bright, argues maybe now is the time for pension plans to take a bet.
Turmoil in financial markets and the need for greater transparency has triggered a review of the $174 billion CalPERS’ existing governance and risk management framework, with a new ad hoc committee tasked with reviewing the risk management framework across the entire business.
The A$28billion (US$20 billion) AustralianSuper terminated several mandates with active equities managers last week and directed most of the freed-up capital to passive exposures bringing its passive management in equities to more than 50 per cent, in an effort to simplify its portfolio by trimming excess managers.
In this research insight MSCI Barra explores the mitigation of misaligned risk and alpha factors by modifying the optimisation process. Firstly it reviews how to decompose a set of alphas into two components – one that is related to risk model factors, and one that is not. Then it shows how penalising the residual alpha in portfolio optimisation may improve a portfolio’s exposures and ex-ante information ratio.