Managed volatility and conventional active value strategies appear to be distinct in important ways.
Recently, there has been a proliferation of investment products marketed as “smart beta”.
For a pension fund that has predictable liabilities and thus is “short a bond,” we believe that allocating a material portion of pension assets to a “matching” portfolio is sound investment practice.
Acadian is sometimes asked why an active process, using publicly available information, should work.
Careful analysis of valuation data reveals that recent changes in the relative valuation of low-risk and high-risk stocks are principally attributable to the gradual unwinding of the extraordinary valuations of high-beta stocks in 2000.
Low-risk stocks have offered a combination of relatively low risk and high returns. We decomposed the low-risk anomaly into micro and macro components.
Stock returns exhibit varying sensitivities to equity markets and to interest rates. Investors may control their exposures to both.
In these difficult fiscal and economic times, keeping annual contributions consistent is challenging enough, let alone obtaining additional capital for catch-up funding.
Traditional finance is based upon the idea that risk is rewarded with higher average returns.