Practical applications of institutional investor journals最新文献_第3页

Practical Applications of Private Markets—From Alternative to Mainstream: Evolution during the Past 30 Years and Key Trends and Challenges for the Decades to Come 私人市场的实际应用——从另类到主流:过去30年的演变以及未来几十年的主要趋势和挑战

Practical applications of institutional investor journals Pub Date : 2023-03-22 DOI: 10.3905/pa.2023.pa541

Erik Knutzen

{"title":"Practical Applications of Private Markets—From Alternative to Mainstream: Evolution during the Past 30 Years and Key Trends and Challenges for the Decades to Come","authors":"Erik Knutzen","doi":"10.3905/pa.2023.pa541","DOIUrl":"https://doi.org/10.3905/pa.2023.pa541","url":null,"abstract":"In <ext-link><bold><italic>Private Markets—From Alternative to Mainstream: Evolution during the Past 30 Years and Key Trends and Challenges for the Decades to Come</italic></bold></ext-link>, from the June 2022 special 30th anniversary issue of <bold><italic>The Journal of Investing</italic></bold>, Erik Knutzen (of <bold>Neuberger Berman</bold>) explains the dramatic growth and evolution of private markets since the 1980s. Back then, private equity (PE) was a small and exotic sector for only the most sophisticated investors. In the decades since, however, PE has grown into a multitrillion-dollar global industry that owns thousands of companies, while the number of publicly listed companies has dropped to about half of what it was in the 1990s. The author explains the key drivers of these events: regulatory changes, the evolution of credit markets, broader acceptance of PE among institutional investors, PE’s relatively high returns, growth and innovation in the PE sector, PE’s diversification and return-smoothing benefits, PE’s better alignment for long-term investors, and the fact that private markets are becoming more liquid. Private markets likely will continue to grow due to PE’s higher expected returns, institutional investors’ need to close the “return gap” between expected and target returns, and the fact that PE is increasingly grouped with traditional assets in asset allocation frameworks.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136196685","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship 基于衍生品和幂律关系的资本效率最大化在美国固定收益养老金计划免疫投资组合构建中的实际应用

Practical applications of institutional investor journals Pub Date : 2023-03-15 DOI: 10.3905/pa.2023.pa540

Scott McDermott

{"title":"Practical Applications of Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship","authors":"Scott McDermott","doi":"10.3905/pa.2023.pa540","DOIUrl":"https://doi.org/10.3905/pa.2023.pa540","url":null,"abstract":"In Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship, from the April 2022 issue of The Journal of Portfolio Management, Scott McDermott of Goldman Sachs Asset Management explores the challenges of asset-liability risk management for the portfolios of defined-benefit pension plans. He first divides a plan’s portfolio into two components: one allocated to managing asset-liability matching (an “immunizing portfolio” or “IP”) and a second allocated to outperform the plan’s liabilities over time (a “growth portfolio” or “GP”). McDermott argues that an IP should be managed dynamically, to maximize capital efficiency, and that, when capital is scarce, managing interest rate risk takes priority over managing credit risk. However, the proportion of capital used for managing credit risk should increase as a plan’s funding status improves. The author proposes a power law relationship between the hedge ratios for interest rate risk and credit risk. He recommends using interest rate and other derivatives to maximize the efficiency of the strategy. The author thinks all managers should ask the following question: Which is riskier, interest rate or credit spread risk? Which has the most volatility, Treasury yields or corporate spreads? Which should we focus on hedging first, and how should we make the trade-off? His research provides fund managers with an approach to answer these questions and develop a more efficient hedging program.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135647935","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Catholic Values and Direct Indexing: No Performance Penance Needed 天主教价值观的实际应用和直接索引:不需要表现忏悔

Practical applications of institutional investor journals Pub Date : 2023-03-15 DOI: 10.3905/pa.2023.pa539

Rafika Shibly, Andrew Subkoviak, Paul Bouchey

{"title":"Practical Applications of Catholic Values and Direct Indexing: No Performance Penance Needed","authors":"Rafika Shibly, Andrew Subkoviak, Paul Bouchey","doi":"10.3905/pa.2023.pa539","DOIUrl":"https://doi.org/10.3905/pa.2023.pa539","url":null,"abstract":"In Catholic Values and Direct Indexing: No Performance Penance Needed, from the Summer 2022 issue of The Journal of Beta Investment Strategies, authors Rafika Shibly (of Citi Private Bank) and Andrew Subkoviak and Paul Bouchey (both of Parametric Portfolio Associates) demonstrate that Catholic investors can own market-like portfolios that align with their values without sacrificing returns. Catholic values–based investing uses guidance from the Catholic Church to help invest in companies that promote human dignity and the common good, while divesting from companies that cause harm. Catholics can invest in existing Catholic values–based index funds or use direct indexing to create their own portfolios while deciding for themselves which companies to exclude. The authors demonstrate that two existing Catholic-values indexes have outperformed broad-market indexes like the S&P 500 and have posted higher risk-adjusted returns. However, they exhibit significant tracking error relative to their benchmark indexes, meaning their returns deviate from the benchmarks year to year. The authors demonstrate that investors can improve their portfolios’ consistency with benchmarks by creating separately managed accounts (SMAs), then using direct indexing to create portfolios that mostly match benchmark indexes while screening out some companies, and then using portfolio optimization to reweight investments in ways that reduce tracking error.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135648056","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Questioning the Wisdom of Crowds to Design Portfolio Diversification Strategies 质疑群体智慧在投资组合多元化策略设计中的实际应用

Practical applications of institutional investor journals Pub Date : 2023-03-10 DOI: 10.3905/pa.2023.jaipa068

Vadim Zlotnikov, Mikhail Stukalo, Igor Halperin, Lisa Huang, Cathy Pena

{"title":"Practical Applications of Questioning the Wisdom of Crowds to Design Portfolio Diversification Strategies","authors":"Vadim Zlotnikov, Mikhail Stukalo, Igor Halperin, Lisa Huang, Cathy Pena","doi":"10.3905/pa.2023.jaipa068","DOIUrl":"https://doi.org/10.3905/pa.2023.jaipa068","url":null,"abstract":"In <ext-link><bold><italic>Questioning the Wisdom of Crowds to Design Portfolio Diversification Strategies</italic></bold></ext-link>, from the Winter 2023 issue of <bold><italic>The Journal of Alternative Investments</italic></bold>, <bold>Vadim Zlotnikov</bold>, <bold>Igor Halperin</bold>, <bold>Lisa Huang</bold>, <bold>Cathy Pena</bold> (all of <bold>Fidelity</bold>), and <bold>Mikhail Stukalo</bold> (of <bold>Gainy</bold>, a fintech startup), develop a diversification strategy based on measures of crowdedness. They design a portfolio with the positive characteristics of uncrowded stocks that also harvests the skill of active managers. They create a measure of crowdedness using holdings data on active managers. Stocks can become crowded based on conviction, reflecting manager skill. But they also can become crowded due to a consensus view, which leads to problematic characteristics; crowded stocks can exhibit negatively skewed returns with high forward-looking volatility. The authors also construct a long–short portfolio based on two different measures of crowdedness. The portfolio is beta-neutral and can be used to improve the Sharpe ratio of a 60/40 portfolio by dampening volatility. Maintaining smart money investors’ insights, the equity component does not sacrifice returns, as other defensive strategies do.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"1115 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136130211","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Cash for Calls: A Quantitative Approach to Managing Liquidity for Capital Calls 现金赎回的实际应用:管理资本赎回流动性的定量方法

Practical applications of institutional investor journals Pub Date : 2023-03-10 DOI: 10.3905/pa.2023.jaipa066

Jerome Schneider, Sean Klein, Wade Sias, Simon Fan

{"title":"Practical Applications of Cash for Calls: A Quantitative Approach to Managing Liquidity for Capital Calls","authors":"Jerome Schneider, Sean Klein, Wade Sias, Simon Fan","doi":"10.3905/pa.2023.jaipa066","DOIUrl":"https://doi.org/10.3905/pa.2023.jaipa066","url":null,"abstract":"In <ext-link><bold><italic>Cash for Calls: A Quantitative Approach to Managing Liquidity for Capital Calls</italic></bold></ext-link>, from the Fall 2022 issue of <bold><italic>The Journal of Alternative Investments</italic></bold>, <bold>Jerome Schneider</bold>, <bold>Sean Klein</bold>, <bold>Wade Sias</bold>, and <bold>Simon Fan</bold>, all of <bold>PIMCO</bold>, provide an approach to address the difficult task of minimizing cash drag while ensuring that limited partners can meet capital calls for private investments. By analyzing cash flow data for private equity, private debt, and private real estate funds, the authors quantify the extent of cash drag experienced when committed, but uninvested, capital is held in cash. They also illustrate the danger of holding the capital in public market equivalents (PMEs). Using historical call rates, the authors then simulate a tiering approach to holding committed capital in assets that have a range of risk and return characteristics and dynamically adjust the allocation. They show this strategy performs similarly to constant proportion portfolio insurance. The portfolio grows when the market outperforms, due to commitments that are partially allocated to PMEs, while an allocation to safe tiers protects the portfolio in market downturns.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136130890","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of A Move in the Right Direction: Client Relationships in Financial Advice 走向正确方向的实际应用:财务建议中的客户关系

Practical applications of institutional investor journals Pub Date : 2023-02-10 DOI: 10.3905/pa.2023.pa537

Katherine H. M. Hunt, Mark Brimble, Brett Freudenberg

{"title":"Practical Applications of A Move in the Right Direction: Client Relationships in Financial Advice","authors":"Katherine H. M. Hunt, Mark Brimble, Brett Freudenberg","doi":"10.3905/pa.2023.pa537","DOIUrl":"https://doi.org/10.3905/pa.2023.pa537","url":null,"abstract":"In <ext-link><bold><italic>A Move in the Right Direction: Client Relationships in Financial Advice</italic></bold></ext-link>, from the Summer 2022 issue of <bold><italic>The Journal of Wealth Management</italic></bold>, authors <bold>Katherine Hunt</bold>, <bold>Mark Brimble</bold>, and <bold>Brett Freudenberg</bold> of <bold>Griffith Business School</bold> conclude that Australian financial advisors must continue to forge deeper connections with their clients and address areas of concern on both an industrywide and a personal basis. The authors explore the determinants of relationship quality between Australian financial advisors and their clients. They utilize 2016 surveys of financial planners and consumers to assess perceptions of the advisor–advisee relationship, such as perceptions of trust and engagement, and chart how overall relationship quality is impacted by six factors: trust, engagement, commitment, client activity, ownership, and empowerment. They compare the results with data from their identical 2009 study to demonstrate a general increase in relationship quality, driven primarily by growth in engagement, trust, and commitment. Additionally, they divide survey results for both clients and advisors by demographic characteristics, including gender, age, education, and income, to provide control variables and assess the degree to which measures of quality vary by subpopulation. Overall, shifts in client and advisor perceptions between 2009 and 2016 can be attributed to many factors, including continuing industry regulation, increased professionalism among advisors, demographic shifts in clientele, the introduction of robo-advice, and deeper communication between clients and advisors.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136096903","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Primer on Agency Mortgage-Backed Securities Specified Pools and Their Convexity Profiles 机构抵押贷款支持证券指定池及其凸性概况入门的实际应用

Practical applications of institutional investor journals Pub Date : 2023-02-08 DOI: 10.3905/pa.2023.pa535

Glenn M. Schultz, Frank J. Fabozzi

{"title":"Practical Applications of Primer on Agency Mortgage-Backed Securities Specified Pools and Their Convexity Profiles","authors":"Glenn M. Schultz, Frank J. Fabozzi","doi":"10.3905/pa.2023.pa535","DOIUrl":"https://doi.org/10.3905/pa.2023.pa535","url":null,"abstract":"In Primer on Agency Mortgage-Backed Securities Specified Pools and Their Convexity Profiles from the Spring 2022 issue of The Journal of Fixed Income, authors Glenn M. Schultz (of MUFG Securities) and Frank J. Fabozzi (of Johns Hopkins University and EDHEC Risk Institute) describe the various sectors of the market for agency mortgage-backed securities (MBS) specified pools. While most MBS are traded on a generic basis—without identifying the underlying pool of mortgage loans—some trades specify the particular underlying pool of the security that must be delivered to clear the trade. The first type of trade is called a to-be-announced (TBA) trade, and the second type is called a specified-pool trade. When market participants trade agency MBS on a specified pool basis, they generally do so because they expect the loans in the underlying pools to display atypical prepayment behavior, which gives the related MBS atypical convexity properties. Specified pools are categorized into sectors, based on loan balance, loan-to-value (LTV) ratio, and geographical location, plus whether they consist of refinanced mortgages or mortgages for investment properties, relocating employees, or people with suboptimal credit scores. The authors describe each specified-pool sector and its convexity profile. Most have positive convexity relative to generic pools and trade at a premium, but jumbo and relocation mortgage pools have negative convexity relative to generic pools and trade at a concession. Investors can manage risk by allocating assets to customize the convexity profiles of their MBS portfolios.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"290 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136176654","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Tactical Asset Allocation, Risk Premia, and the Business Cycle: A Macro Regime Approach 战术资产配置、风险溢价和商业周期的实际应用:宏观机制方法

Practical applications of institutional investor journals Pub Date : 2023-02-07 DOI: 10.3905/pa.2023.pa556

Alessio de Longis, Dianne Ellis

引用次数: 0

Practical Applications of Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach 新兴市场投资的实际应用:多资产、细粒度和动态投资组合方法

Practical applications of institutional investor journals Pub Date : 2023-02-01 DOI: 10.3905/pa.2023.pa534

Josh Davis, Grace (Tiantian) Qiu, German Ramirez, Helen Guo, Ding Li, Zhihui Yap

{"title":"Practical Applications of Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach","authors":"Josh Davis, Grace (Tiantian) Qiu, German Ramirez, Helen Guo, Ding Li, Zhihui Yap","doi":"10.3905/pa.2023.pa534","DOIUrl":"https://doi.org/10.3905/pa.2023.pa534","url":null,"abstract":"In Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach, from the September 2022 special issue on emerging markets of The Journal of Portfolio Management, authors Josh Davis (of PIMCO), Grace Qiu (of GIC Private Limited), German Ramirez, Helen Guo (both of PIMCO), Ding Li, and Zhihui Yap (both of GIC) challenge the popular perception that emerging market (EM) securities are not worth including in a strategic asset allocation. The authors propose an EM investment strategy that consists of two portfolio building blocks. The first diversifies the portfolio by equalizing the risk coming from regions and asset classes, while the second tilts investment toward assets giving strong market signals. The authors backtest this strategy and demonstrate that from 2007 to 2020, it would have produced significantly higher risk-adjusted returns than index investing. Skepticism of EMs comes from the perception that they are high risk and perform poorly. The authors counter that the indexes used to track EM performance are poorly constructed and not well diversified, concentrate risk in a few countries, and select securities based on market capitalization (which is not optimal in EMs). This makes the indexes unreflective of EMs’ true potential.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136172169","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Reflections on Professional Ethics in Investment Management and Pension Fund Investment Consulting 职业道德反思在投资管理和养老基金投资咨询中的实际应用

Practical applications of institutional investor journals Pub Date : 2023-01-25 DOI: 10.3905/pa.2023.pa533

John R. Minahan

{"title":"Practical Applications of Reflections on Professional Ethics in Investment Management and Pension Fund Investment Consulting","authors":"John R. Minahan","doi":"10.3905/pa.2023.pa533","DOIUrl":"https://doi.org/10.3905/pa.2023.pa533","url":null,"abstract":"In <ext-link><bold><italic>Reflections on Professional Ethics in Investment Management and Pension Fund Investment Consulting</italic></bold></ext-link>, from the June 2022 30th anniversary special issue of <bold><italic>The Journal of Investing</italic></bold>, author <bold>John Minahan</bold> contends that the CFA Code of Ethics requires investment professionals to realistically address the problem of underfunded pension plans and rosy assumptions about future investment performance. Drawing on decades of consulting experience and recent interviews with investment professionals, Minahan says ethical dilemmas stem from gatekeeper issues (where a third party decides whether investment professionals have access to clients), industry cultural issues and associated ethical blind spots, and a “not my job” attitude among investment professionals toward fixing ethical problems. According to Minahan, pensions ideally would fully fund the retirement income they promise retirees. However, the accounting standards used by pension funds systematically understate the size of their liabilities because such standards allow highly optimistic assumptions about future investment performance. Minahan asserts that the practice is misleading and contravenes the CFA Code of Ethics. In particular, the requirements 1) not to engage in misrepresentation, 2) to be loyal to clients, and 3) to promote the integrity of capital markets support the conclusion that confronting the pension liability problem <italic>is</italic> the responsibility of investment professionals.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136042928","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0