Recently, I attended the Eureka Report Around the World of Investing Forum. The overwhelming impression was that global investing is very new to many Australians.
The empirical relation between risk and return in emerging equity markets is flat, or even negative - including controlling for exposures to the size, value and momentum effects.
To achieve absolute return objectives, many risk management techniques remain relevant but their application and focus need to change.
A sustained period of lower global growth, rich valuations from traditional assets and an eerie calm before the storm in asset price volatility require a different approach to asset allocation.
The top six stocks in the ASX 300 represent 45% of market cap and 50% of market risk. A 4% TE constrained manager must hold 15%-20% in these six stocks even if they do not like them.
The seismic shift in fixed income after a 30-year bull market for bonds has created significant portfolio construction challenges and opportunities.
The size of the global infrastructure asset universe will expand from $40 trillion earlier this decade to over $110 trillion by 2030, presenting significant opportunities to invest.
Alpha Potential is gaining traction as another important quantitative tool. Its use lies in identifying opportunities for active management of Australian equities amongst other asset classes.
The last decade has seen a distinct disconnect between investment risk and return, versus what we're taught should be the case.
Alpha Potential is gaining traction as a tool to identify opportunities for active management, enhancing the value proposition afforded to active managers.
To ensure risk is genuinely well diversified takes a sophisticated forward-looking scenario-analysis process to combine quantitative rigor with qualitative insights of extreme stresses it might face.
This paper explores the thesis that capturing the traditional relationship of fixed income in the total client portfolio will require more untraditional approaches going forward.
Uncertainty about the timing of future interest rate rises poses challenges to fixed income investors. This paper identifies options available in managing portfolios in such an environment.
Symposium NZ 2014 facilitated debate on the three pillars of portfolio construction – markets, strategies and investing - to help delegates build better quality portfolios. This CPD Quiz is for delegates to complete, to receive Structured CPD Hours.
PortfolioConstruction Forum Academy Winter Seminar 2014 featured four sessions: Risk, return & relating; Statistics, lies, and investment performance analysis; How safe are safe withdrawal rates in retirement?; and, Communicating and learning with and from clients.
This paper and presentation argue that starting period equity valuations impact not just medium-term equity returns, but medium-term equity volatility and bond-equity correlations also.
Using risk factors in evaluating investments in the portfolio construction process can provide valuable information about the true drivers of performance.
There's some evidence that some managers can add (relatively) consistent value net of costs. Can we (or anyone) identify them?
Are the human and organisational barriers to being better investors insurmountable, or can we learn and improve our decision-making?
Typically, MPT has focused solely on how to invest within classes, not amongst them. But MPT continues to evolve.
It is fine to have positive returns year-in, year-out as an objective or goal. But, absolute returns should never be presented as an expectation, as disappointment is inevitable.
Towers Watson's compendium of insights into global equity investing contains useful insights about issues many portfolio construction practitioners face every day.
The Academy Autumn Seminar 2014 featured four sessions: 10 golden rules for portfolio construction; Reassessing the global debt spectrum; Currency revisited - to hedge or not to hedge; Volatility investing - the next frontier.
This Resources Kit is a deluge of videos, podcasts, and papers for all 18 sessions of the jam-packed Markets Summit 2014 program - The Great Escape (what will markets be like in the QE runout?) so you can "attend" even if you weren't part of the 500-strong audience.
To achieve the Great Escape, central banks must first complete the Great Unwind – the removal of ultra-easy monetary policies. So what is the roadmap for the Great Unwind?