This presentation addresses the importance of developing improved and dynamic investment approaches that seek to better understand and manage total portfolio risk as well as identify sources of return.
Individuals are vulnerable to economic and financial risks as they approach and enter retirement. Insights from behavioural finance can be used to enhance risk communication and retirement outcomes.
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.
If geopolitics is far more important in considering investment markets today, how do we integrate geopolitics into portfolio construction?
As we sit today with some unprecedented market conditions, it's probably more relevant than ever to understand both sides of the risk and return equation in the fixed income space.
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.
To ensure risk is genuinely well diversified takes a forward-looking scenario-analysis process to combine quantitative rigor with qualitative insights of the plausible but unlikely extreme stresses we might face.
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.
What are the questions that everyone is asking today? When will interest rates spike? And, what about the increased rate of inflation? One has to accept the changing nature of these two elements.
The constant challenge is to keep clients focused on their wealth goal when they are distracted by the many other factors that influence their perception of risk.
Our Symposium NZ 2014 faculty debated that the best way for practitioners to manage a client's primary risk of not meeting their objectives is to manage the long-term uncertainty of returns.
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.
Recorded at the recent Symposium 2014, this session examined the truth as to whether regulation makes markets more efficient or causes markets to produce lower returns.
This paper and presentation provide an introduction to the risk tolerance paradox, exploring the main reason it exists, and introducing risk management strategies that seek to solve the problem.
This paper and presentation argue that the bond market can offer compensation against rising rates through roll down and active management of forwards.
The majority of the world will see an improvement in economic growth this year. While equities remain the most attractive asset class, they will need a more nimble approach.
Increasing corporate activity in the US, and a more positive US macro-economic backdrop make US micro-cap stocks a good place to invest for the next five to 10 years.
Our Markets Summit faculty debated two critical issues arising from Unconventional Monetary Policy; for the coming two to three years, to substantially overweight DM vs EM Equities in portfolios and substantially overweight Short vs Long Duration Bonds.
Emerging Markets were a focal point in 2013, repricing as US stimulus, commodity prices and China's boom subsided. In future, EM performance will depend on individual merit.
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?
Breaking Unconventional Monetary Policy (B.U.M.P.) and it's impact on global financial stability is the key risk for the foreseeable future.
The ability to pick inflection points in markets as well as deploying TAA across credit will be the key ingredient going forward.
Short-term rates are likely to remain low for a prolonged period of time. Investors will still need to source yield, they'll simply have to be more creative to find it.
If the US and China prove to be prescient and 'ahead of the curve', financial markets will flourish; if they dawdle, we'll see yet another boom and bust cycle that ends in tears.
Today's long period of very easy money and very low yields has distorted the financial system. This will cause unintended consequences in the near future as QE ends.