Morgan Stanley

Uncategorised posts

Managing liquidity and rebalancing constraints

This extension of previous research by Morgan Stanley’s Martin Leibowitz and Anthony Bova provides an analysis of the relationships between rebalancing liquidity, portfolio flows, and diversification into illiquid assets.

Amanda WhiteAugust 24, 2011

Uncategorised posts

Restrict rebalancing to US stocks and bonds: Morgan Stanley

A more efficient way to rebalance highly diversified multi-asset portfolios – which contain illiquid assets – could be to restrict the rebalancing to exchanges between US stocks and US bonds only, according to new analysis by Morgan Stanley.

Amanda WhiteApril 6, 2011

Investor Profile

CalSTRS overlays its fuzzy buckets

After deciding at the last investment committee meeting to employ a new way of evaluating portfolio risk which overlays risk across asset classes, rather than replacing asset classes with risk categories, CalSTRS now just has to work out how to do it. Amanda White spoke with chief investment officer Chris Ailman about the fund’s journey […]

Amanda WhiteFebruary 23, 2011

Uncategorised posts

CalSTRS plugs holes in neat buckets with risk overlays

CalSTRS will employ a new way of evaluating portfolio risk which overlays risk across asset classes, rather than replacing asset classes with risk categories, and introduces six broad risk factors.

Amanda WhiteFebruary 16, 2011

Uncategorised posts

Specialised short positions challenge beta behaviour

Long/short funds with specialised short positions have greater beta convexity and present greater liquidity strain in rebalancing, according to new research by Morgan Stanley.

Amanda WhiteJanuary 5, 2011

Uncategorised posts

Rebalancing not so simple with diverse beta sources

Simple reblancing of portfolios back to strategic ranges after a market rise or fall is not as simple as you may think, according to a research note from brokers Morgan Stanley. The new investment required after a fall may be surprisingly large.

GREG BRIGHTNovember 10, 2010

Uncategorised posts

Managing liquidity and rebalancing constraints

Uncategorised posts

Restrict rebalancing to US stocks and bonds: Morgan Stanley

Investor Profile

CalSTRS overlays its fuzzy buckets

Uncategorised posts

CalSTRS plugs holes in neat buckets with risk overlays

Uncategorised posts

Specialised short positions challenge beta behaviour

Uncategorised posts

Rebalancing not so simple with diverse beta sources

Local Pensions Partnership

Subscribe now to