CEO of the Cern Pension Fund Theodore Economou says pension funds should use the techniques of the best global macro hedge fund managers to control risk and volatility while producing absolute returns...
A ‘required return’ framework is a useful tool for managing diversified hedge fund portfolios
The ability to infer daily performance from less frequently observed returns data can help hedge fund investors understand intra-month gains and losses
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Portfolio allocation articles
Hedge funds are under pressure to differentiate and explain their worth concludes a survey by SEI. Managers need to work with investors to find portfolio solutions rather than offer products
The twin objectives of risk diversification and expected return maximization are essential to portfolio efficiency. However, what constitutes an appropriate measure of risk and its reliable estimation remains elusive. Furthermore, the integrated risk...
Institutional investors are set to allocate 11% more to hedge funds this year, according to a Deutsche Bank survey. Less money is flowing to FoHFs while emerging managers are in favour.
Hedge funds remain the single largest allocation for US university endowments but an extended period of lacklustre returns is leading some in the endowment community to question their value.
This paper discusses the implications of mean reversion in stock prices for long-term investors such as pension funds. We consider a mean-variance-efficient investor and show how mean reversion in stock prices affects such an investor's optimal portfolio...
Sandrine Tobelem-Foldvari and Pauline Barrieu present a non-linear methodology that combines different asset return models in order to define the preferable portfolio allocation when the investor is averse to model ambiguity. This method offers robustness,...
Hubert Keller, managing partner, asset management, at Lombard Odier Investment Managers says investors are making fundamental changes in the way they approach portfolio and hedge fund allocations.
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future