CFA Institute: CFA Institute Conference Proceedings Quarterly: Table of Contents

Evolution in Risk Reporting: What’s Next?

cfapubs@cfainstitute.org (Frances Barney) — Thu, 02 Feb 2012 16:30:17 GMT

CFA Institute Conference Proceedings Quarterly, Ahead of Print.
The process of measuring, monitoring, and reporting risk has taken on increased importance during the past decade. In particular, the financial crisis of 2008–2009 highlighted the need for portfolio-level and firm-level risk management and hastened the pace of adoption of a formal risk management infrastructure for investment management firms.

The Quant Delusion: Financial Engineering in the Post-Lehman Dodd–Frank Landscape

cfapubs@cfainstitute.org (Stephen Blyth) — Thu, 02 Feb 2012 16:30:17 GMT

CFA Institute Conference Proceedings Quarterly, Ahead of Print.
The recent financial crisis and its aftershocks have reshaped the world of financial engineering, quantitative analysis, and derivatives trading. Government intervention, regulatory reform, and the refutation of fundamental axioms and model assumptions are three reshaping forces now confronting quantitative practitioners.

Goals-Based Wealth Management in Practice

cfapubs@cfainstitute.org (Jean L.P. Brunel) — Thu, 02 Feb 2012 16:30:16 GMT

CFA Institute Conference Proceedings Quarterly, Ahead of Print.
Wealth management processes have not always been responsive to individual clients’ priorities and modes of thinking. A model is presented and evaluated that uses goals-based wealth management concepts to generate module-built portfolios, each of which is driven by a client’s expressed goals. This model allows for a high degree of flexibility and responsiveness to client needs with a practical level of standardization.

The U.S. Residential Mortgage Market: Sizing the Problem and Proposing Solutions

cfapubs@cfainstitute.org (Laurie S. Goodman) — Thu, 02 Feb 2012 16:30:18 GMT

CFA Institute Conference Proceedings Quarterly, Ahead of Print.
The U.S. housing market remains depressed and faces significant challenges to recovery. Demand is being constrained by frictions in the credit process and cannot absorb the oversupply of homes that will continue to flood the market as a result of foreclosures. Bulk sales of foreclosed homes and principal modifications to loans are likely to be necessary to close the gap in supply and demand and revive the housing market.

Navigating the Credit Markets

cfapubs@cfainstitute.org (Mark R. Kiesel) — Thu, 26 Jan 2012 16:10:31 GMT

CFA Institute Conference Proceedings Quarterly, Ahead of Print.
Good fundamental analysis can identify the numerous opportunities that currently exist in the global credit markets. Investing where growth is high and where balance sheets are healthy can be critical. Exposure, directly or through multinationals, to the solid growth of emerging markets can offer an attractive opportunity.

The Impact of Capital Controls on Cross-Border Fixed-Income Investments

cfapubs@cfainstitute.org (Tina Vandersteel) — Thu, 26 Jan 2012 16:10:32 GMT

CFA Institute Conference Proceedings Quarterly, Ahead of Print.
In the aftermath of the 2008 global financial crisis, there has been an increase in the use of capital controls and macroprudential policies, particularly in emerging markets, to achieve domestic financial stability. Fixed-income investors can develop a framework that anticipates various policy responses that a country could use to control unwanted capital inflows or outflows.

China’s Rebalancing

cfapubs@cfainstitute.org (Michael Pettis) — Fri, 20 Jan 2012 18:22:59 GMT

CFA Institute Conference Proceedings Quarterly, Ahead of Print.
China’s investment-driven growth model has intrinsic flaws that have resulted in an unbalanced economy with misallocated investments and underconsumption. This model is leading to an unsustainable hidden debt that threatens to bring China’s growth to a halt. The challenge is to reduce the hidden debt and increase household consumption without causing serious financial distress.

Exploiting the Volatility Anomaly in Financial Markets

cfapubs@cfainstitute.org (Harindra de Silva) — Fri, 20 Jan 2012 18:23:01 GMT

CFA Institute Conference Proceedings Quarterly, Ahead of Print.
The well-documented low-volatility, or low-beta, anomaly can be used as a style factor to reduce a portfolio’s overall volatility. Over a long investment horizon, low volatility allows the compounding effect of the stocks in the portfolio to grow undisturbed to maximize the investor’s terminal wealth. Several ETFs that exploit the low-volatility factor can be used to implement the strategy.

Farewell, Punch Bowl: From Inflation Targeting to Credit Targeting

cfapubs@cfainstitute.org (Russell Napier) — Wed, 23 Nov 2011 13:43:48 GMT

CFA Institute Conference Proceedings Quarterly Dec 2011, Vol. 28, No. 4: 1-11.
The approach to money, credit, and asset prices that investors have used for the past 20 years is now defunct and has to change structurally. Inflation targeting was a central tenet of Alan Greenspan’s approach to central banking but has not succeeded. It failed because it ignored money and credit. Controlling credit will be key for the future global economy.

Illiquid Assets

cfapubs@cfainstitute.org (Andrew Ang) — Wed, 23 Nov 2011 13:43:56 GMT

CFA Institute Conference Proceedings Quarterly Dec 2011, Vol. 28, No. 4: 12-22.
Illiquidity risk is poorly captured by traditional models. Without accounting for selection bias, expected returns are overstated and risk is underestimated. In portfolio choice models with illiquidity risk, the optimal holding of illiquid assets is small and the premium required to compensate for illiquidity is high. In addition, there are severe agency issues in illiquid asset investment.

Opportunities in Complex Credit

cfapubs@cfainstitute.org (Lindsay Holtz) — Wed, 23 Nov 2011 13:43:58 GMT

CFA Institute Conference Proceedings Quarterly Dec 2011, Vol. 28, No. 4: 38-47.
Traditional liquid credit spreads seem to be priced fairly at best, but with more downside than upside depending on investors’ expectations about the economy. In this environment, complex credit opportunities, such as credit relative value, loan pools, mortgage derivatives, credit sensitive asset-backed securities, and private lending, offer attractive risk-adjusted returns.

Portfolio Construction and Risk Management for Sovereign Wealth Funds

cfapubs@cfainstitute.org (Felix P. Chee) — Wed, 23 Nov 2011 13:43:51 GMT

CFA Institute Conference Proceedings Quarterly Dec 2011, Vol. 28, No. 4: 33-37.
The management of sovereign wealth funds involves the fundamental problems of investor preferences, portfolio construction, and risk management that are often exacerbated by their size and structure. These funds also face challenges with marking to market, valuation, and asset class selection. China Investment Corporation provides a real-world example of the solutions investors might consider.

Risk Management for Institutional Funds

cfapubs@cfainstitute.org (Arjan B. Berkelaar) — Wed, 23 Nov 2011 13:43:54 GMT

CFA Institute Conference Proceedings Quarterly Dec 2011, Vol. 28, No. 4: 23-32.
Many investment managers agree that the traditional approach to asset allocation and risk management is “dead.” No consensus has emerged on a new approach, but a risk-driven approach is gaining popularity. Many institutions are exploring the use of a more dynamic asset allocation process. Any new approach should be adopted on the basis of the investment beliefs of the organization, the governance setup of the organization, and the skill set of the staff.

Unit-Linked Life Insurance: Cost Drivers, Hidden Payments, and the Tax-Deferral Argument

cfapubs@cfainstitute.org (Martin Straub) — Wed, 23 Nov 2011 13:43:49 GMT

CFA Institute Conference Proceedings Quarterly Dec 2011, Vol. 28, No. 4: 48-57.
Unit-linked life insurance is an effective wealth-planning tool, but managing the participants in the structure and their respective disclosed and undisclosed fees are important to achieving client objectives. A primary benefit of life insurance as a planning tool is tax deferral, but other benefits include asset protection, estate planning, succession planning, avoidance of forced heirship laws, and control over wealth transfer.

Volatility Concepts and Tools in Risk Management and Portfolio Construction

cfapubs@cfainstitute.org (Joanne M. Hill) — Wed, 23 Nov 2011 13:43:53 GMT

CFA Institute Conference Proceedings Quarterly Dec 2011, Vol. 28, No. 4: 58-70.
Understanding the dynamics of realized volatility is critical to effective investment management and portfolio risk management. Volatility measures can reach levels well above the median and are trending and mean reverting. Tradable volatility exposure is now available with VIX futures and exchange-traded products benchmarked to VIX futures indices. These tools are useful for modifying portfolio risk based on expected S&P 500 Index volatility rather than shifting fixed-income allocations.

December Issue

Wed, 23 Nov 2011 13:43:42 GMT

CFA Institute Conference Proceedings Quarterly Dec 2011, Vol. 28, No. 4: 1-70.
This PDF contains the complete December 2011 issue of CFA Institute Conference Proceedings Quarterly.