Asset allocation
Poor asset returns threaten EU insurers’ profitability
Life insurers report median zero investment return in 2018
Eurozone insurers’ bets on alternatives raises systemic risk
Dutch firms have more than 25% of total assets tied up in non-traditional investments
Tying allocation to selection
Hamza Bahaji introduces a new approach to core-satellite investing, the compound portfolio insurance
Accounting switch saps Ping An's investment yield
IFRS 9 lops 37 billion yuan from investment return
Derivatives assets soar at eurozone insurers
Surge in values near year-end hint at hedging gains
EU hedge funds lean on repo for leverage
Around 60% of EU hedge fund borrowings due within one week, Esma reports
Active ETFs – The next step in Asia’s ETF innovation
The exchange-traded fund space has long been dominated by passively managed funds, but active ETFs are gaining popularity among investors and issuers. Although active ETFs are not yet a mainstream investment instrument, their growing investor interest is…
Asia moves: Nomura boosts Asia ex-Japan, Bank of America picks two Apac co-heads, and more
Latest job changes across industry
Munich Re adjusts sovereign portfolio
Reinsurer clips US, UK, Italy holdings
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
EU insurers embrace infrastructure bonds
Solvency II-compliant infrastructure investments concentrated in handful of firms
EU insurers shun ABS, real estate
Securitisations make up just 0.5% of portfolios; property 2.7%
Modelling correlation: from zig-zag to zig-zig
Research is starting to show the stock-bond link in a new light
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
ALM and liquidity risk reporting greatly enhanced by big data applications
Sponsored video: Luis Mataias, IBM Watson Financial Services
Dodge & Cox turns to MBS as Treasury yields rise
Income Fund grows securitised allocations from 36.1% to 39.7%
A risk-based approach to construct multi asset portfolio solutions
In this paper, the authors introduce an approach to cluster asset classes by correlation distance and then outline how these results can be used to design portfolios that are optimal in a group risk parity (GRP) framework.
Mostly prior-free asset allocation
This paper develops a prior-free version of Harry Markowitz’s efficient portfolio theory, which allows the decision maker to express their preferences with regard to risk and reward, even though they are unable to express a prior over potentially…
Lifecycle investing with the profitable dividend yield strategy: simulations and nonparametric analysis
Using simulations, the author shows that life-cycle investing implemented on highly profitable and high dividend yield stocks (the profitable dividend yield strategy) provides a compelling solution to the suboptimality problem by leveraging on the…
Tools and techniques for safeguarding fixed-income portfolios
Sponsored webinar: FactSet
CLO investors fret as rate hikes loom
Rising default rates could trigger a stampede out of the market
Investing across periods with Mahalanobis distances
The authors propose an analytical framework to measure investment opportunities and allocate risk across time based on the Mahalanobis distance.