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Research

Dynamic allocation using minimum volatility

Active managers who are increasingly on the ropes as beta strategies encroach upon their alpha returns can take heart from the latest research from index provider MSCI. In the latest insight from Barra, Dynamic Allocation Strategies Using Minimum Volatility: Detecting Regime Shifts to Enhance Active & Passive Investing, Philippe Durand and John Regino argue that […]
Sarah RundellSeptember 6, 2013
Research

Deconstructing risk parity portfolios

In this paper MSCI applies its framework for defining macroeconomic risk to strategic asset allocation, labelling assets as either risk premium or risk hedging. It applies the analysis to arisk-parity portfolio, showing how its relatively high exposure to inflation shocks makes it a risk premium portfolio.   To access the paper click here    
STAFF WRITERJune 28, 2013
Investor Profile

Exploring the depths of sustainable investing

Many institutional funds boast responsible investing credentials, but Switzerland’s Nest Sammelstiftung has taken the extra step of molding its investment strategy around a sustainable template. The sustainable agenda is more than just a focus for Nest. It forms the very ethos of a fund that markets itself to potential members as “the ecological and ethical […]
Dan BillinghamJune 26, 2013
Sustainability

Sustainability to create
new drivers of return

Sustainability is constructing a portfolio today on the earnings of the future, according to global head of investment content for Towers Watson, Roger Urwin. Not all performance is born equal, he says, and sustainability is performance with purpose. A cap-weighted portfolio is made up of an earnings stream based on today’s conditions, Urwin explains, with […]
Amanda WhiteMarch 20, 2013
Research

Raising ESG ratings with improved returns

While environmental, social and governance factors may be all the rage in investment strategies, the right tools to measure results of their implementation would make tangible what skeptics might think are the emperor’s new clothes. Cue researchers Zoltán Nagy, Doug Cogan and Dan Sinnreich from MSCI with their December 2012 paper, Optimizing ESG Risk Factors […]
STAFF WRITERJanuary 30, 2013
Uncategorised posts

Over the industry? Change it

The pension and funds management industry is self-serving. There are too many players, there’s too much jargon, too much leakage and too much patting each other on the back. And that’s not just my opinion: the results of a 12-month research project, across 60 countries and more than 3000 investors concur. The research by State […]
Amanda WhiteNovember 16, 2012
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