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Research

Risk parity and beyond

This paper analyses whether the use of uncorrelated underlying risk factors, as opposed to correlated asset returns, can lead to a more efficient framework for measuring and managing portfolio diversification. The paper, by academics at EDHEC Business School and SYMMYS, acknowledges that the ability to construct well-diversified portfolios is a challenge of critical importance in […]
Amanda WhiteApril 9, 2014
Organisational Design

The power of innovation

From allocating assets in order to achieve a healthy funding status, to keeping up with technology that analyses portfolio risk, the challenges of asset owners are relentlessly evolving. For asset managers, like AQR, the key to their own evolution and success is how to be more relevant to clients. AQR keeps clients’ needs firmly within […]
Amanda WhiteApril 2, 2014
Uncategorised posts

Mercer’s plan for integrating ESG

How to implement ESG into portfolio construction and implementation is an ongoing challenge for asset owners. Mercer has come up with a number of strategies including the best way to use ESG ratings, active ownership, and tailored strategies that play to sustainability themes, including its own unlisted investment solution. Amanda White spoke to Jane Ambachtsheer, […]
Amanda WhiteMarch 14, 2014
Research

Manager risk contribution in a multi-manager portfolio

This paper by MSCI creates a framework in order to answer the question: given a portfolio of managers, how does the active risk of each manager relate to the active risk of the portfolio? Asset owners often measure manager risk (the active risk of each manager) and have difficulty relating it to the contribution each […]
Amanda WhiteMarch 5, 2014
Investor Profile

Ohio SERS reduces hedge funds

This year the $12 billion Ohio School Employees Retirement System is prioritising projects that fulfil the board’s desire to find income from alternative sources and manage risk, including allocating more to real assets, and initiating an RFP on a risk management system. Farouki Majeed speaks to Amanda White about the fund’s investment program.   With […]
Amanda WhiteFebruary 21, 2014
Uncategorised posts

Adding value through risk allocations

2013 was a great year to add value by using risk to assign asset allocation, according to chief investment officer of Windham Capital, Lucas Turton, whose fund added 300 basis points above benchmark last year by dynamically allocating according to risk.   Windham Capital Management’s style is to focus on measuring and understanding risk to […]
Amanda WhiteFebruary 19, 2014
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