1. In this edition of RedViews, John Towner, Director Investment Consulting, and Alex White, Analyst ALM and Investment Strategy, explore the concepts of rolldown and carry. They conclude that, even in a low yield environment, it is possible to invest in low yielding assets and generate excess return1. In fact, it is possible to generate excess return even when interest rates do not fall.

  2. In this edition of RedViews, Dan Mikulskis, co-Head of ALM, and Patrick O'Sullivan, VP Investment Consulting, describe a risk-controlled investment methodology that they believe could be effectively applied to DC investment strategies, with the potential to deliver improved outcomes for
    members in its own right. 

    • Section 1: Risk Controlled Investment Strategies – Application to DC
    • Section 2: “Money Safe” Guarantees in a DC Scheme
    • Section 3: Risk Control combined with a “Money Safe” Floor
  3. Volatility Control is a simple investment approach which has been employed by many hedge funds and insurance companies for a number of years to control the risk of their allocations to equities. Pension schemes, which possess similar looking sets of assets and liabilities, seem on the whole to be unfamiliar with the concept.

    The purpose of this paper is to provide an introduction to the concept, a brief look at some quantitative results, and a summary of the pros and cons of such an approach in a pension scheme setting.

  4. In the wake of the Global Financial Crisis, G20 ministers agreed to introduce changes to Over-The-Counter (OTC) derivative markets in order to prevent a repeat of the systematic failure observed in 2007/8.

    • Changes under EMIR
    • Latest Timeline
    • Implications for Pension Schemes
    • Decisions Required

     

  5. Volatility Control as a concept was introduced in a previous paper.

    This paper focuses on a more detailed illustration of the behaviour of a Vol Control strategy during two recent periods of market stress. The two periods have been chosen not because we are trying to claim they were of comparable nature or severity – by their very nature all such events are different – but rather because the differences between them highlight some important features of the Vol Control approach.

  6. Volatility Control is a simple investment approach which has been employed by many hedge funds and insurance companies for a number of years to control the risk of their allocations to equities. Pension schemes, which possess similar looking sets of assets and liabilities, seem on the whole to be unfamiliar with the concept.

    The purpose of this paper is to provide an introduction to the concept, a brief look at some quantitative results, and a summary of the pros and cons of such an approach in a pension scheme setting.

     

  7. In an announcement that surprised the market, the National Statistician announced the outcome of the Consumer Prices Advisory Committee (CPAC) investigation into the formula effect in the RPI index.

    The outcome was that there will be no changes in respect of the formula used at the elementary aggregate level in calculation of the RPI index: Option 1 of the four consultation options.

    Many were expecting a change that would at least unwind the part of the effect introduced in 2010 when changes were made to the clothing component.

    Given that this outcome now requires no further ratification it appears it is the final decision in respect of this particular investigation.