Asset allocation

Burr XII, Extreme Value, and a Fantasy

Sep 15th, 2014 | Filed under: Academic Research, Asset allocation, Risk management, Today's Post

The eight authors of a new study seek to add to “the existing literature of Bayesian VaR methods by … considering the … general class of Burr XII extreme value distributions “ and by estimating error bounds. After having a little fun we try to puzzle out what that means.


Asset Allocation & the Practical Application of Time-Window Analysis

Sep 14th, 2014 | Filed under: Asset allocation, Performance, Analytics & Metrics, Today's Post

Guest columnist Andrew Smith, CAIA, on performance analysis and its effect on asset allocation.


Why are Hedge Fund Assets Reaching All-time Highs?

May 12th, 2014 | Filed under: Alpha Hunters, Asset allocation, Institutional Investing, Media Coverage of Hedge Funds, Performance, Analytics & Metrics, Today's Post

Guest columnist Don Steinbrugge looks at why allocators continue to invest in hedge funds, even when the media thinks they shouldn't.


Defusing a Demographic Time Bomb: A Pension Fund Case Study

Apr 29th, 2014 | Filed under: Asset allocation, Institutional Investing, Liability Driven Investing, Today's Post

Longevity hedging transactions are growing at an exponential rate in the UK. We focus on one case study in such transactions that might encourage (cautious) optimism about the tractability of demographics.


The Skorina Report: PIMCO’s Heir-apparent goes missing

Apr 10th, 2014 | Filed under: Asset allocation, Guest Posts, Institutional Investing, The Skorina Report, Today's Post

Charles Skorina looks at the implications of El-Erian "disappearing" from PIMCO.


The Pitfalls of Mainstream Asset Allocation: Linear versus Non-Linear Risk

Oct 24th, 2013 | Filed under: Asset allocation, Performance, Analytics & Metrics, Risk management, Today's Post

Guest columnist firm Tesseract looks at mainstream asset allocation and its various risks.


Considering the Foundations: Risk and Risk Aversion

Sep 15th, 2013 | Filed under: Asset allocation, Risk management, Today's Post

Risk aversion is a foundational consideration in finance. Oddly, the examples usually given to explain it sound a bit like incidents from an old game show with Monty Hall.


Natixis on Investing by ‘Road Maps:’ Institutional Cartographic Confidence

Jun 16th, 2013 | Filed under: Alpha Seekers, Alpha Strategies, Asset allocation, Institutional Investing, Today's Post

Eighty-nine percent of the respondents in a newly released Natixis survey of institutions said they expect they will be able to meet their future obligations. But they aren't as optimistic about the fate of individuals in their own countries who are now trying to save for retirement.


Australian News: Part II

Apr 25th, 2013 | Filed under: Alpha Strategies, Asset allocation, Today's Post

Earlier scholarship, largely devoted to the U.S. equities context, has indicated that well-known predictors don't predict well in out-of-sample contexts. But by combining fifteen factors, and by moving the scene of their study to Australian, four scholars have obtained a more upbeat result.


Improving the Health of Healthcare Endowments

Feb 24th, 2013 | Filed under: Alpha Strategies, Asset allocation, Institutional Investing, Today's Post

The obvious reason for the allocation preferences of healthcare endowments is that they believe they need to remain very liquid. Jarvis, in this white paper, points out that the liquidity preference comes at a cost in performance.


On Not Using the Phrase ‘New Normal’ Here

Sep 26th, 2012 | Filed under: Asset allocation, Institutional Investing, Private Equity, Real Estate, Today's Post, Venture capital

Acceptance of the higher levels of volatility as a fact of life means that careful ongoing attention to risk has become the means of operations. In the United States specifically, 31 percent of institutions say that they monitor their risk budget daily to keep the overall amount of risk in the portfolio under check: more than half (53 percent) say that they do such monitoring on a weekly or monthly basis.


A Family is Not a Portfolio: A Discussion with Charles Grace

Sep 13th, 2012 | Filed under: Alpha Strategies, Asset allocation, Today's Post

In the years before the world financial crisis, an endowment oriented model was gaining some ground [in the family-office world] following on the example of Yale University and its long-time CIO, David Swenson. But, frankly, there has been some questioning of that as of late.


Healthcare Nonprofit Investments: The Case for Boredom

Sep 11th, 2012 | Filed under: Asset allocation, Institutional Investing, Today's Post

It is good that the stuffy old healthcare organizational folks stuck with fixed income investments!, because those investments did better than any other asset class as a component of their FY2011 returns. Fixed income returned 5.4 percent. The more exciting field of international equities was the big loser, with a -10.9 percent return.


McKinsey: Allocations Will Rise Despite Sticky Fees

Jul 31st, 2012 | Filed under: Alpha Strategies, Asset allocation, Private Equity, Real Estate, Today's Post

The reason for the increased interest in alternatives, McKinsey says, isn’t that the alternatives’ managers are slashing the price of their services. It is, rather, a discontent with the return to be gained from traditional investment. “Even with downward pressure likely over the next few years, revenue yields for institutional alternative products should remain well above the 35 bps average earned on today’s traditional institutional products.”


Benefits of Asset-Class Diversification Are Disappearing

Jul 4th, 2012 | Filed under: Alpha Strategies, Asset allocation, Today's Post

By the end of May the spread between German and Spanish bond yields was extraordinary. Spanish 10-year bonds were yielding 6.5 percent, German bonds only 1.347 percent. What Spain would have to do was becoming obvious to everyone by then, though it took Spain until well into June to do it, finally requesting and obtaining as Mathema puts it “a financial lifeline of up to €100 billion to shore up its troubled banking system” from the EU.


Preqin to Hedge Funds: Wooing Institutions May Require Patience

Jun 27th, 2012 | Filed under: Alpha Strategies, Asset allocation, Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Today's Post

Institutions aren’t to be rushed into committing to a hedge fund. The process can take more than a year. Preqin asked institutions: once a fund has caught their attention, specifically once they have first seen a fund proposal, how much time typically passes before they actually make an investment, if they do?