Fri, Jan 30, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

New EDHEC-Risk survey reveals the investment management opinions of sovereign wealth funds

Tuesday, April 03, 2012
Opalesque Industry Update - In a new survey entitled “What Asset-Liability Strategy for Sovereign Wealth Funds?” produced as part of a research chair supported by Deutsche Bank, Sovereign Wealth Fund (SWF) respondents have underlined the need for a change in investment practices to take into account both short-term constraints and liabilities.

The survey presents the results of the Deutsche Bank research chair’s foundation paper – a dynamic asset-liability management (ALM) model developed to guide asset allocation and risk management decisions at the SWF level, and describes the results of a call for reaction on its theoretical and practical appeal for sovereign fund management.

In spite of the prevailing view that Sovereign Wealth Funds (SWFs) are not like other institutional investors and that they are pursuing a pure strategy of accumulation as a standalone, the EDHEC-Risk survey shows that the funds themselves consider that ALM techniques are appropriate for their financial management and that they have as a mission and constraint to take account of the risks of the States that set them up. The specific characteristic of their ALM is that it must cover not only the liability risk but also the contribution risk. It is noteworthy that SWFs believe that the asset management industry is not providing them with liability-driven investment (LDI) solutions that are adapted to their situation.

The survey received responses from sovereign wealth funds and public bodies responsible for managing sovereign investments. Most of the 27 respondents are SWFs from Asia-Pacific and Middle Eastern countries. The survey period is from 23 February 2011 to 2 December 2011. Among the most salient results:

  • 89% of the sovereign investment practitioners surveyed think that SWFs are subject to implicit short-term constraints (e.g. a limit on the maximum drawdown over a given period or minimum performance requirement due to peer comparison, loss aversion or sponsor risk).
  • 92% of the respondents think that implicit liabilities should be taken into account. These liabilities correspond to the objectives that justified their creation.
  • 70% of the respondents agree that the ALM framework provides SWFs with a better understanding of optimal investment policy and risk management practices.
  • A majority of the respondents report a lack of dedicated solutions for ALM and risk management by SWFs.

A copy of the EDHEC-Risk Institute survey can be found here: Source

fg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Exclusive: Ex-Citi trader launches 'sleep-at-night’ long/short equity fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: After working at Citi's proprietary trading desk, managing a large portfolio between 2008 and 2011, Joel S. Salomon founded SalaurMor Management in New Yor

  2. Investing - U.S. investors favor currency hedged Europe ETFs as euro tumbles, Quants win back investors as Swiss franc fuels volatility gains, David Einhorn's $7bn hedge fund is loading up on this stock, Hedge fund BlueMountain Capital unveils Ocwen Financial short, claims default on notes[more]

    U.S. investors favor currency hedged Europe ETFs as euro tumbles From Reuters.com: U.S. investors stung by the falling euro who want to stay invested in Europe are turning to exchange-traded funds designed to strip out the impact of the region's currency. The biggest among so-called "cur

  3. News Briefs - Millennials use tech tools to jump into investing, Winklevoss twins to launch bitcoin exchange with FDIC insured deposits, Robertson’s legacy from hedge funds to New Zealand, Real estate managers exploring smaller open-end funds[more]

    Millennials use tech tools to jump into investing It is the Facebookification of monetary investing. From social networking platforms that enable young investors to stick to every other's stock-picking mojo, to internet sites for initially-timers hungry for a piece of the Silicon Valley

  4. Update: Prosecutors seek 12 years for hedge fund manager Francisco Illarramendi[more]

    Komfie Manalo, Opalesque Asia: Federal prosecutors have asked the court to sentence convicted hedge fund manager Francisco Illarramendi to 12 years imprisonment for running an elaborate Ponzi scheme that bilked investors hundreds of millions in dollars, including a Venezuelan pension fund, report

  5. Institutions - Ontario pension fund leader calls all asset classes ‘expensive’, Taiwan's BLF plans $2bn in alternative mandates[more]

    Ontario pension fund leader calls all asset classes ‘expensive’ From WSJ.com: The head of one of the world’s largest pension funds said that across asset classes, “everything is expensive.” Ron Mock, who leads Canada’s $141 billion Ontario Teachers’ Pension Plan, said that the plan would