First, here’s today’s news:
- Australia’s FIRB remains concerned by SWF investments and could force sovereign funds and SOEs to take on commercial partners.
- Russia’s new agency for managing its sovereign wealth funds, “Rosfinagentstvo”, continues to take shape with, most recently, the appointment of Josef Ackermann to the Board.
- The California Public Employees Retirement System invests in Chinese real estate.
- The Ontario Teachers’ Pension Plan seems to like Legos.
- There’s a CFO position available at Alaska Permanent Fund. Get there.
- The Qatar Investment Authority continues to be a big buyer of European property.
Second, here’s some interesting reading for the weekend:
Monica Tan and Marie-Anne Cam have just published a paper entitled, “Does Governance Structure Influence Pension Fund Fees and Costs? An Examination of Australian Not-for-Profit Superannuation Funds.” Here’s a blurb:
“The importance of managed fund governance structures has become apparent in recent years. Looking at the trustee boards and committee structures of Australian not-for-profit pension funds, we find correlations between funds’ internal governance structures and their level of fees and costs. Our study suggests that larger boards are linked to higher investment management fees and expenses, operating expenses and trustee fees. In addition, we find a positive relationship between the proportion of independent trustees and investment management fees and expenses, and operating expenses. These fund costs increase as the number of board committees rises. Finally, we observe that the presence of board committees and size of the fund affects different types of fund costs. Overall, these findings suggest that the conventional good governance practices derived from corporate sector literature do not benefit superannuation fund members in terms of cost reduction.”
Andrew Ang has another new paper that’s worth reading entitled, “Dynamic Portfolio Choice”. Here’s a blurb:
“The foundation for a long-term investment strategy is rebalancing to fixed asset class positions, which are determined in a one-period portfolio choice problem where the asset weights reflect the investor’s attitude toward risk. Rebalancing is a counter-cyclical strategy that has worked well even during the Great Depression in the 1930s and during the Lost Decade of the 2000s. Rebalancing goes against investors’ behavioral tendencies and is also a short volatility strategy. When there are liabilities and asset returns vary over time, the long-term investor’s optimal portfolio consists of (i) a liability-hedging portfolio, (ii) a market (or myopic demand) portfolio that reflects optimal short-run asset positions, and (iii) an opportunistic (or long-term hedging demand) portfolio that allows a long-run investor to take advantage of changing investment returns.”
Enjoy your weekend!
