Document library
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- Author:
- Robert Howie (Chairman); Really Long Term Investment Products Working Party
- Source:
- Finance and Investment Conference 2002
Setting investment strategy for the long term - a closer look at defined contribution strategy
This paper considers how investment time horizon affects investment strategy. We consider whether equity risk decays over time i.e. whether the notion of time diversification has validity. SETTING INVESTMENT STRATEGY FOR THE LONG TERM A Closer Look at ... read more >>
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- Author:
- Jon Exley; Andrew Smith
- Source:
- Finance and Investment Conference 2002
Estimating the relative performance of equities and bonds over the next 25 years
This paper estimates the risk that equities will under-perform bonds over the next 25 years. Reasonable estimates are that, over the next 25 years: l) The probability that equity will under-perform bonds is 23.0%. 2) The cost of guaranteeing an equity fund ... read more >>
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- Source:
- Finance and Investment Conference 2002
Discussion: Do pension funds need hedge funds, and vice versa? A discussion on the merits of institutional involvement in the hedge fund industry
A debate on the merits of institutional involvement in the hedge fund industry. For a number of years, the Finance and Investment Board has formed working parties to look at hedge funds and the resulting papers have been presented and discussed at the ... read more >>
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- Author:
- Connor Keating\; William Shadwick
- Source:
- Finance and Investment Conference 2002
A universal performance measure
We present a new approach to analysing returns distributions, the Omega function, which may be used as a natural performance measure. Analysis based on Omega is in the spirit of the downside, lower partial moment and gain-loss literatures. The Omega ... read more >>
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- Author:
- ALM Working Party; Andrew Slater (Chairman)
- Source:
- Finance and Investment Conference 2002
Monitoring the effectiveness of asset allocation decisions
In this paper we describe the main approaches to asset allocation decisions in the life and pension industries, discuss the issues regarding measuring the effectiveness of asset allocation advice, and suggest possible ways in which the effectiveness of ... read more >>
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- Author:
- Richard Fitzherbert
- Source:
- Finance and Investment Conference 2002
Continuous compounding, volatility and the equity premium
This paper reviews some of the fundamental ideas of modern portfolio theory and the supporting empirical evidence that is relevant to actuarial modelling of equity markets or equities as an asset class. There is a chasm between those who believe that ... read more >>
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- Author:
- Jon Exley; Andrew Smith
- Source:
- Finance and Investment Conference 2002
Modelling corporate bonds: considerations for stochastic modelling
Many of the newly issued corporate bonds are finding their way into insurance and pension fund asset portfolios. Modelling these bonds is tricky. Historic return distributions are well behaved and the observed credit spreads exceed all estimates of ... read more >>
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- Author:
- Andy Adams\; Roddy Macpherson\; Brian Moretta
- Source:
- Finance and Investment Conference 2002
Assessing the effects of buybacks on investment trust discounts
Buybacks for investment trusts have become common since 1999. The stated motivations for investment trusts buying back shares include ongoing reduction of discounts and a reduction in discount volatility. We describe the buybacks made over the study period ... read more >>
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- Author:
- Mike Brooks (Chairman)\; Investment Risk Working Party
- Source:
- Finance and Investment Conference 2002
Predicted tracking errors – the search continues
In June 2000 this working party produced a paper entitled “Predicted Tracking Errors: Fact or Fantasy?” This highlighted flaws in the tracking error predictions of risk models and raised concerns over the reliance placed on these predictions ... read more >>
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- Author:
- Philip Booth\; Gianluca Marcato
- Source:
- Finance and Investment Conference 2002
An analysis of the behaviour of commercial real estate indices
There has been criticism within the real estate professions that the lack of availability of good quality data has led actuarial professionals and academics to ignore real estate for modelling purposes. It has sometimes been asserted that this is one of ... read more >>
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- Author:
- Jon Exley; Andrew Smith; Tom Wright
- Source:
- Finance and Investment Conference 2002
Mean reversion and market predictability
This paper examines some arguments for the predictability of share price and currency movements. We examine data from 1976-2001, and reproduce some classical regression results. On further investigation, we find biases in the classical estimation ... read more >>
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- Author:
- Colin McLean (Chairman)\; Value Measurement Working Party
- Source:
- Finance and Investment Conference 2002
Common measures of value management
This paper represents work in progress, with the aim being to investigate additional measures and test further data, focusing particularly on the potential for applying real options techniques to securities investment. Many metrics are used every day as ... read more >>
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- Author:
- Anthony Butcher QC
- Source:
- Staple Inn Reading 2002
Why arbitrate?
My title is calculated to intrigue rather than to enlighten. Let me now say that my intention is to look practically, and in the light of my experience at the claims upon contestants, in the circumstances of today, of arbitration as a satisfactory means of ... read more >>
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- Author:
- Faculty and Institute of Actuaries; Association of Consulting Actuaries
- Source:
- Consultation response
Consultation by the Lord Chancellor's Department. Damages for future loss. Giving the courts the power to order periodical payments for future loss and care costs in personal injury cases
Joint Response by the Faculty and Institute of Actuaries and the Association of Consulting Actuaries 7 June 2002 Consultation by the Lord Chancellor's Department Damages for future loss Giving the courts the power to order periodical payments for future ... read more >>