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Showing posts from March, 2018

Quant Style Crash Finally Arrives?

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Dani Burger and Elena Popina of Bloomberg report, Quant Style Slump That Strategists Foretold Finally Arrives:
If you’ve been cursing at technology stocks for the past two days, there’s another corner of the market that’s perhaps just as deserving of your anger.

It’s called momentum -- quant jargon for stocks that have performed the best over the past year or so -- and it’s gone through a rare bout of pain this week.

The lagging performance didn’t come out of thin air. Strategists from Morgan Stanley to Lazard Asset Management Ltd. have recently stoked worries about the popular quantitative strategy. Their primary concern? That investors piling into the same winners, including lofty technology stocks, had heightened the risk of a rush to the exits.

Those warnings, it seems, were scarily prescient. A long-short momentum portfolio, which hedges out greater market movements, had logged its biggest two-day plunge since November 2016 at yesterday’s close, according to data compiled by Bloom…

CAAT Pension Hits 118% Funded Status

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Benefits Canada reports, CAAT pension plan reaches 118% funded status:
The Colleges of Applied Arts and Technology pension plan’s funded status has grown to 118 per cent, up from 113 per cent last year.

According to its actuarial valuation at Jan. 1, 2018, the plan reached a funding reserve of $2.3 billion and is allocating this surplus to strengthen its benefit and contribution stability as a cushion against unpredictable market downturns or liability growth.

The current surplus represents the strongest position for the plan since it became jointly governed 22 years ago, noted Derek Dobson, chief executive officer and plan manager at CAAT, in a news release. “Long-term projections show the plan’s financial health should remain resilient into the future providing benefit security and contribution stability to our members and employers.

The plan is also on track to grow, with plan members from the Youth Service Bureau of Ottawa voting to join as of Jan. 1, 2018.

“The CAAT plan is open …

La Caisse Shakes Up Its Senior Ranks?

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Benefits Canada reports, Caisse makes leadership changes to address competitive markets ahead:
The Caisse de dépôt et placement du Québec is shaking up its leadership team to address a rapidly changing and increasingly competitive market.

Macky Tall, formerly the head of the Caisse’s infrastructure portfolio, will be head of liquid markets and the Réseau express métropolitain project, the 26 station rail system currently under construction in Montreal. In addition, Tall will continue to help the pension fund’s equity and fixed income teams.

While the Caisse has hired Tall’s replacement, it hasn’t released the name because details of the transition are ongoing. However, it did note in a press release that the new head of infrastructure will start his role on June 1, 2018, and further details will be released in the coming weeks.

In further changes, Maxime Aucoin, previously senior vice-president of total portfolio, will be heading up a new investment strategies and innovation team task…

Japan's GPIF Puts Squeeze on Fees?

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Attracta Mooney of the Financial Times reports, World’s biggest pension scheme overhauls fee structure:
Japan’s Government Pension Investment Fund has accused active asset managers of being too focused on gathering new assets rather than generating returns for clients, as the world’s largest retirement pot gears up to overhaul how it pays investment houses.

Under plans due to come into place in April, the $1.4tn pension fund will pay its active asset managers a fee that is based on the excess returns — or alpha — they generate. “Without excess returns, their fee must be equal to that of passive managers with the same amount of asset size,” GPIF said. The new regime will apply to new and existing managers.

The move by the pension fund comes at a time of growing questions over the value stockpickers add. Active fund managers have repeatedly been accused of charging high fees for disappointing performance in recent years.

GPIF said its current fee structure, where investment houses were p…

Market Phishing For Inflation Phools?

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Desmond Lachman of the American Enterprise Institute wrote a comment, Behind the curve at the Federal Reserve:
History will not judge Janet Yellen’s Federal Reserve kindly should U.S. inflation accelerate in the months ahead as is all too likely to occur. At a time when there was every reason last year for the Fed to be accelerating the pace at which it was raising interest rates, Janet Yellen’s Fed effectively sat on its hands. As a result, Jerome Powell has inherited a Fed that is substantially behind the curve in terms of its efforts to prevent a return in U.S. inflation.

One reason that in 2017 Mrs. Yellen’s Fed should have been adjusting upward its path of planned interest rate increases was because of the substantial increase in household wealth during the year. Since the start of 2017, U.S. equity prices increased by 25 percent while U.S. home prices increased by 6 percent. This constitutes approximately a US$8 trillion increase in household wealth or the equivalent of around …

Ontario Teachers' Bets on a Gaming Giant?

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The Canadian Press reports, Ontario Teachers’ Pension Plan buying $400M stake in video game giant Ubisoft:
The Ontario Teachers’ Pension Plan is spending about $400 million to take a 3.4 per cent stake in French video game giant Ubisoft as part of a complex deal that will allow French conglomerate Vivendi to sell all of its Ubisoft shares.

Vivendi, which was said to be considering a takeover when it accumulated its Ubisoft stake over the past few years, has agreed to sell its 30.5 million shares and not buy any more for at least five years.

Ontario Teachers’ has agreed to acquire 3.8 million shares in the company, which produces games including Assassin’s Creed and Tom Clancy’s Rainbow Six, while Chinese internet giant Tencent is to buy 5.6 million shares.

The rest are to be bought by Ubisoft and cancelled, or sold to existing shareholders and, through an offering, to institutional investors.

Ubisoft says it has a strategic partnership with Tencent that will “significantly accelerate”…