Qualitative metrics drive post-crisis pension fund asset allocation

in-text-41154

The failure of metrics such as value-at-risk and correlation matrices to accurately predict portfolio performance in the financial crisis has led a number of leading European pension funds to take a more qualitative approach to their strategic asset allocation.

According to Andrejs Landsmanis, head of strategic asset allocation at the Stockholm-based First Swedish National Pension Fund (AP1), VAR and correlation matrices can only give indications of risk and on their own are insufficient to give

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: