Our publications | CFA Society Netherlands

De wereldwijde Big Mac-index verdient een duurzame update

19 January 2023 in VBA Journaal door Melinda Rook RBA, voorzitter CFA Society VBA Netherlands

Door de hamburger te vergelijken, vergelijk je eigenlijk een mandje van lokale producten inclusief arbeid en energie. De Big Mac is immers over de hele wereld hetzelfde product; een sesambroodje, sla, tomaat, plakje kaas, augurk en 2 rundvleesburgers. Een ludieke en handige manier van het berekenen van over- of onderwaardering van wisselkoersen. Een methode die in 1986 is geïntroduceerd door The Economist en ondertussen een algemeen aanvaardbare maatstaf is geworden.

Duurzaam beleggen in veiligheid

19 January 2023 in VBA Journaal door Onno de Lange

Institutionele beleggers zoals pensioenfondsen, verzekeraars en vermogensbeheerders beleggen wereldwijd. Dat doen zij om zowel hun risico’s te spreiden als om de kansen op goede rendementen te verbeteren. De wereld is echter veranderd sinds de uitbraak van de Covid-19 pandemie in 2020 en de Russische inval in Oekraïne begin 2022. Globalisering is sindsdien sterk afgenomen.

Trillions: How a Band of Wall Street Renegades Invented the Index Fund and Changed Finance Forever

19 January 2023 in VBA Journaal door Review door Bas van den Broek, Investment Specialist Fundamental Equity bij APG

Een snelle google search leert dat BlackRock per jaareinde 2021 ongeveer USD 10 triljoen onder beheer heeft. Dit is een 10 met 12 nullen! Een partij als Vanguard heeft USD 7.2 triljoen onder beheer. De vraag is: hoe is het uiteindelijk zo ver gekomen en waar is het allemaal gestart dat partijen als BlackRock en Vanguard zo’n sterke marktpositie hebben. Daarnaast worden de meeste benchmarks geleverd door een aantal grote namen binnen de industrie: MSCI, FTSE Russel en S&P Dow Jones. Hoe hebben deze partijen zoveel macht kunnen grijpen op Wall Street?

Is klimaat het nieuwe landenrisico bij wereldwijd beleggen?

19 January 2023 in VBA Journaal door Loranne van Lieshout (commissie risicomanagement)

Wereldwijd beleggen is gemeengoed onder Nederlandse institutionele beleggers. De meeste pensioenfondsen en verzekeraars kiezen voor hun beleggingen in aandelen en andere beleggingscategorieën voor breed gespreide wereldwijde benchmarks. En terecht, want diversificatie loont. Harry Markowitz toonde in de jaren ’50 al aan dat door spreiding in de portefeuille, bij een gelijk risico, een hoger rendement behaald kan worden.

LDI is dood, lang leve LDI?

28 December 2022 in Externe publicatie door Jens van Egmond, Head of Europe LDI Client Portfolio Management bij BlackRock en Bestuurslid en Voorzitter van de Beleggingscommissie van Stichting Sportfondsen Pensioenfonds

Column in Financial Investigator December 2022, door Jens van Egmond, Head of Europe LDI Client Portfolio Management bij BlackRock

The future of responsible investing

1 October 2022 in VBA Journaal door Rob Bauer

I am very honoured and thankful that the VBA Journal invited me to contribute to its special 150th edition. In this article, I will share my personal perspective on the responsible investing phenomenon. I will first look back at the past two decades in which responsible investing transformed from a niche product to a hyped set of investment solution services. I will then highlight several implicit trade-offs and conflicts of interest that materialize in the many manifestations of responsible investing such as divestment, engagement, and ESG-integration strategies.

Not yet over: 2008

1 October 2022 in VBA Journaal door Jaap Koelewijn, Director Financieel Denkwerk (former editor-in-chief VBA Journaal winter 2008 up to and including summer 2016)

I had only just started as editor in chief of VBA Journaal when the credit crisis (‘the global financial crisis’) erupted. This event had a huge impact on both my professional life and my personal life. The investment funds that I oversaw were at risk of collapsing, banks were being held afloat with all sorts of buoyancy aids and the media were asking me to explain all this. My children, who were still very young at the time, wondered whether cash machines would continue to dispense money and whether their grandparents’ pensions were safe. My own portfolio halved in value. Through robust government intervention, the problems were controlled relatively quickly.

Signals are green for quant investing

1 October 2022 in VBA Journaal door David Blitz and Pim van Vliet

In this article we will reflect on the developments in the field of quant investing and argue that the future looks bright. With decades worth of experience at actively navigating multiple investment cycles we have learned that a long-term winning formula can sometimes feel like riding a rollercoaster in the short run. Due to this cyclical nature quant investing is often more a test of character than a test of intelligence and ‘strong hands’ are a necessary condition for success.

Broadening our thinking as the basis for finance professionals

1 October 2022 in VBA Journaal door Theo Kocken

Through the various crises in recent decades, it has become clear that the world is fundamentally uncertain – and not stochastically uncertain. With the new insights based on, among other things, complexity theory, it starts to dawn in science and in practice, that we need a greater diversity of models and tools. From Agent Based Modeling and network theory to premortems and scenario thinking. These will enhance financial risk management practices.

DeFi and the foundation of a new finance

1 October 2022 in VBA Journaal door Campbell R. Harvey

Out with the old

The Determinants of Institutional Capital Allocation to Real Estate

1 October 2022 in VBA Journaal door Alexander Carlo, Piet Eichholtz and Nils Kok

Pension funds around the world are increasingly investing in alternative assets, and the most important of these “alternatives” is real estate. We employ the CEM global pension fund database to shed light on the determinants of pension fund allocation to real estate, both over time and in the cross-section. We find that pension funds’ strategic allocation to real estate – net of return effects – is the result of the historical performance of real estate relative to other asset classes, and that pension funds quickly adjust their actual allocation rate to their strategic allocation decisions.

Unfortunately people are not donkeys

1 October 2022 in VBA Journaal door Hans de Ruiter

I was editor-in-chief of VBA Journaal from 2001 until 2008. We had just emerged from a period when most of the articles that we received were written by academics. Quite often, this meant that the content of the magazine and the requirements and interests of our readers were not properly aligned. From 2001 onwards it was mainly authors who actually worked in the financial sector that provided us with articles. In the beginning, this took some effort on our part, but the process became easier as time went on – especially because as editors we actively tried to come up with interesting themes and looked for authors to match.

A survey of the developments in quantitative finance

1 October 2022 in VBA Journaal door Mark Geene, Roy Hoevenaars and Sander Nooij

Fast-speaking Koijen talks about the financial markets with great passion. His main focus is why financial markets fluctuate as much as they do. “If on a given day the market rises or falls, you can usually come up with a few possible reasons. But no one really knows. Even when quarterly figures are published, we have a hard time explaining why share prices go up or down. That is one of the crucial questions that my collaborators and I are asking”, says the professor.

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