https://cfasociety.nl/en/Latest news and articles by CFA Society VBA NetherlandsSat, 15 Jul 2023 00:00:00 +0200enhttps://cfasociety.nl/en/publications/why-lgbtiq-inclusion-should-matter-to-investors/0d0f438e-2742-11ee-9d27-005056b303d3LGBTIQ+ rights are often overlooked in investments. They matter from a financial, social and legal perspective. In this paper we provide steps every investor can take to take these rights into account.VBA JournaalSat, 15 Jul 2023 00:00:00 +0200Lisa Hayles and Martijn Huijnen0d0f438e-2742-11ee-9d27-005056b303d3https://cfasociety.nl/en/publications/reflections-on-the-role-of-behavioral-traits-in-the-due-diligence-process/516f5dd5-2732-11ee-9d27-005056b303d3MINDSET MATTERS BOTH WAYS TO REDUCE THE ROLE AND IMPACT OF BIASES AND HEURISTICSVBA JournaalSat, 15 Jul 2023 00:00:00 +0200Mark Geene516f5dd5-2732-11ee-9d27-005056b303d3https://cfasociety.nl/en/publications/esg-assessment-challenges-in-investment-manager-due-diligence/f87132b6-2797-11ee-9d27-005056b303d3When selecting and monitoring external investment managers, it is increasingly important to develop a clear understanding of their credibility in ESG, sustainable and impact investment matters. The subject is a challenging one, with asset managers’ practices (and appearances) evolving rapidly.VBA JournaalSat, 15 Jul 2023 00:00:00 +0200Sarita Gosrani, Kathryn Saklatvala, Frans Verhaarf87132b6-2797-11ee-9d27-005056b303d3https://cfasociety.nl/en/publications/controllability-is-dead-long-live-responsibility/385449d6-e22c-11ed-9d27-005056b303d3We have been asked to take a reflective stance towards risk management approaches and discuss one of the many myths and delusions. To start, it is important to say that all organizations and formulated goals are a mental construct. I mean: you are able to touch e.g. the office property, the desks, (if allowed) your colleagues, but you can neither touch the organization nor its goals. An organization is basically the aggregate of the behaviour and decisions of the individuals at a certain location, at a certain time. The organization exists in our minds and this makes that every organization reaps the benefits of, or gets hindered by the (mis-)understanding of the conscious and unconscious behaviour of its members.VBA JournaalSat, 15 Apr 2023 00:00:00 +0200Randy Caenen385449d6-e22c-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/too-many-fairy-tales-in-finance/5dbac100-e223-11ed-9d27-005056b303d3We spoke with Dr. Hsu about a few persistent myths and dogmas present in modern finance. Much or Dr. Hsu’s early career focused on US markets (for example, his research on fundamental indexation1 and option strategies).2 In this interview, we take a wider view of the often-imperfect world of finance. Dr. Hsu maintains that the financial world is largely a sales-driven industry where people are often lured into investments by stories that are too good to be true. In this interview, we highlight a few of these imperfections.VBA JournaalSat, 15 Apr 2023 00:00:00 +0200Ronald Kok5dbac100-e223-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/let-s-meet-marg-franklin/7dfb48da-e212-11ed-9d27-005056b303d3Marg Franklin, CFA, CEO and president of CFA Institute, visited the Netherlands in February 2023 to meet and greet CFA Society Netherlands members and key stakeholders in the industry. She also joined the celebrations which marked the five year anniversary of the CFA Society-VBA merger by sounding the gong at the Amsterdam Stock Exchange.VBA JournaalSat, 15 Apr 2023 00:00:00 +0200Anne-Marie Munnik RBA7dfb48da-e212-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/the-cfa-research-challenge-benelux-2022-2023-has-a-winner/a2c96651-e215-11ed-9d27-005056b303d3The organizers and the participants of the CFA Research Challenge Benelux were thrilled to hold the finals, once again, at the beautiful historic Euronext building. We are thankful to our gracious hosts at Euronext for giving students a glimpse of what life is like on a trading floor.VBA JournaalSat, 15 Apr 2023 00:00:00 +0200Alex Morozova2c96651-e215-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/cfa-society-netherlands-fosters-an-inclusive-culture-for-a-knowledgeable-community/d0416fde-e211-11ed-9d27-005056b303d3To become fully inclusive, most organizations need to transform their culture. As a starting point, this requires broadening the narrative to diversity of thinking and inclusion, to create shared purpose and meaning.VBA JournaalSat, 15 Apr 2023 00:00:00 +0200CFA Society Netherlandsd0416fde-e211-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/the-x-factor-of-active-managers/fdd1d423-e227-11ed-9d27-005056b303d3HOW MULTI-FACTOR MODELS CAN HELP SELECT CONSISTENTLY OUTPERFORMING EQUITY MANAGERSVBA JournaalSat, 15 Apr 2023 00:00:00 +0200Simon Zijlstrafdd1d423-e227-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/international-investing-remains-essential/911fb3b0-976b-11ed-9d27-005056b303d3In 2022, international relations came under considerable pressure. Russia’s invasion of Ukraine has had a huge impact on financial markets and has contributed to soaring worldwide inflation. In recent months it became very clear that international investing does indeed have its limitations and entails risks. We discussed the pros and cons of international investing with US hedge fund manager Yaron Brook. One of his pet subjects is that ESG investing appears to have an adverse effect for investors.VBA JournaalThu, 19 Jan 2023 00:00:00 +0100By Ronald Kok911fb3b0-976b-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/the-future-of-responsible-investing/09d658d5-7163-11ed-9d27-005056b303d3I 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.VBA JournaalSat, 01 Oct 2022 00:00:00 +0200Rob Bauer09d658d5-7163-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/not-yet-over-2008/0b698ee9-71a9-11ed-9d27-005056b303d3I 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.VBA JournaalSat, 01 Oct 2022 00:00:00 +0200Jaap Koelewijn, Director Financieel Denkwerk (former editor-in-chief VBA Journaal winter 2008 up to and including summer 2016)0b698ee9-71a9-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/signals-are-green-for-quant-investing/0f7bfa51-71b2-11ed-9d27-005056b303d3In 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.VBA JournaalSat, 01 Oct 2022 00:00:00 +0200David Blitz and Pim van Vliet0f7bfa51-71b2-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/broadening-our-thinking-as-the-basis-for-finance-professionals/39780ef0-71b0-11ed-9d27-005056b303d3Through 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.VBA JournaalSat, 01 Oct 2022 00:00:00 +0200Theo Kocken39780ef0-71b0-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/defi-and-the-foundation-of-a-new-finance/696e74cb-71ab-11ed-9d27-005056b303d3Out with the oldVBA JournaalSat, 01 Oct 2022 00:00:00 +0200Campbell R. Harvey696e74cb-71ab-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/the-determinants-of-institutional-capital-allocation-to-real-estate/a2633f9f-71a6-11ed-9d27-005056b303d3Pension 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.VBA JournaalSat, 01 Oct 2022 00:00:00 +0200Alexander Carlo, Piet Eichholtz and Nils Koka2633f9f-71a6-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/unfortunately-people-are-not-donkeys/a42c1eb3-71b0-11ed-9d27-005056b303d3I 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.VBA JournaalSat, 01 Oct 2022 00:00:00 +0200Hans de Ruitera42c1eb3-71b0-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/a-survey-of-the-developments-in-quantitative-finance/d8ceecb6-71ad-11ed-9d27-005056b303d3Fast-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.VBA JournaalSat, 01 Oct 2022 00:00:00 +0200Mark Geene, Roy Hoevenaars and Sander Nooijd8ceecb6-71ad-11ed-9d27-005056b303d3https://cfasociety.nl/en/publications/the-influence-of-climate-risk-on-real-estate-valuation/51a44148-c3fc-11ec-9d27-005056b303d3There can be no mistaking the effects that climate change has had on communities around the world in 2021. There are plenty of examples. Heavy rainfall has caused widespread flooding and landslides in The Netherlands, Australia and wide tracts of the US. There have been ferocious wildfires and droughts in California, Greece and Australia, while the hottest-ever temperature in Europe was recorded in August: 48.8°C in Sicily. We believe climate risks are misunderstood and mispriced by participants in real estate markets.VBA JournaalFri, 15 Apr 2022 00:00:00 +0200Lucas Vuurmans51a44148-c3fc-11ec-9d27-005056b303d3https://cfasociety.nl/en/publications/sustainability-embedding-in-dutch-listed-companies/8f4a9624-c3f0-11ec-9d27-005056b303d3Dutch listed companies have, over the past decades, become increasingly engaged with the social and environmental footprints of their activities. This engagement has varied in intensity, with some companies leading international sustainability rankings while others are just getting started. Despite these efforts, it is clear that governments, investors, customers and society at large are demanding more corporate responsibility for global issues such as climate change, biodiversity loss and human rights abuses.VBA JournaalFri, 15 Apr 2022 00:00:00 +0200Constantijn van Aartsen, Rob Bauer, Tereza Bauer and Mieke Olaerts8f4a9624-c3f0-11ec-9d27-005056b303d3https://cfasociety.nl/en/publications/the-power-of-public-filings/7d6825fe-31d9-11ec-88bb-005056b303d3The power of public filings cannot be overstated. They possess immense information on companies, their financial performance, their current standing, and where they are headed. Many are aware of prominent SEC filings such as 10-Ks and 10-Qs. However, few are aware of some of the “lesser-known” company filings, which typically fly under the radar despite containing material information that is relevant for investment professionals. This article elaborates on the theme of “lesser-known” public filings, and contributes several examples of US and UK filings for real-world applicability.VBA JournaalFri, 01 Oct 2021 00:00:00 +0200Chashaka Wimalaweera and Daryl Smith7d6825fe-31d9-11ec-88bb-005056b303d3https://cfasociety.nl/en/publications/from-accounting-based-valuations-to-esg-culture-based-valuations/98a378a3-31cb-11ec-88bb-005056b303d3Accountancy is one of the oldest branches of economics and finance. Originally used to help run a business, it has rapidly allowed other functionalities such as raising taxes for monarchies and gradually enabling compliance controls, providing investors, boards, management, and regulators with quantitative supervisory or decision-making information, also exploited in making business or investment decisions.VBA JournaalFri, 01 Oct 2021 00:00:00 +0200Didier Cossin and Pascal Botteron98a378a3-31cb-11ec-88bb-005056b303d3https://cfasociety.nl/en/publications/through-the-looking-glass/2d573774-e7d5-11eb-bcc7-005056b303d3In March 2020, it became clear that the coronavirus would become a global pandemic. As a result, the financial markets experienced one of their most volatile periods as panic spread globally and central banks responded with immense stimulus. Now, over a year later, we interview Daniel Neeteson, a strategist at Optiver who reflects on the unprecedented period that was 2020 and considers how the markets held up, and how we can improve the European capital markets going forward.VBA JournaalThu, 01 Jul 2021 00:00:00 +0200Ronald Kok2d573774-e7d5-11eb-bcc7-005056b303d3https://cfasociety.nl/en/publications/is-your-pension-fund-board-ready-for-the-next-financial-crisis-here-s-how-to-prepare-with-six-steps/ac117e3c-e7c8-11eb-bcc7-005056b303d3Financial crises are permanent fixtures of the investment industry. For a pension fund board, when you encounter a challenge like a financial crisis, you either learn new ideas and behaviors, or you fail to be successful or even fail in the long term. So, what are the new ideas and behaviors we have learned from financial crises? Academic literature has identified the drivers of financial crises1 and their interaction with investor behavior. However, what subsequently should be changed in practice is somewhat discarded and left to practitioners.VBA JournaalThu, 01 Jul 2021 00:00:00 +0200Alfred Slagerac117e3c-e7c8-11eb-bcc7-005056b303d3https://cfasociety.nl/en/publications/a-year-in-which-decades-happened/e37d2701-e7db-11eb-bcc7-005056b303d32020 is a year that will be forever etched into the history books. Many lost a beloved relative, or friend, to the pandemic and all of us had to change our personal and professional lives in ways that would have been considered impossible prior to the pandemic. Despite the disruptive impact 2020 had on our lives, most long-term investors ended the year in positive territory. Yet, from an investment perspective, this was also a year in which decades happened.VBA JournaalThu, 01 Jul 2021 00:00:00 +0200Stefan Lundbergh and Nigel Sillise37d2701-e7db-11eb-bcc7-005056b303d3https://cfasociety.nl/en/publications/aim-for-green/301cac2c-9895-11eb-8a1e-005056b303d3Currently financial markets are in the aftermath of implementing regulations which were initiated between 2007-2010 after earlier crises. The regulatory environment is settling down in relation to the aims of these regulations. Enhanced consumer protection measures as well as improved transparency, risk mitigation, central clearing, transaction reporting and many others are now embedded in financial institutions policies, procedures and systems.VBA JournaalThu, 01 Apr 2021 00:00:00 +0200Peter Bouma en Richard Frehé301cac2c-9895-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/the-underperformance-of-value-vs-growth-stocks-explained/4a37e54d-5361-11eb-8a1e-005056b303d3Value investing in equity is a popular way to gain outperformance. Once popularised by Benjamin Graham and currently a firm building block of smart beta strategies, the idea isto reap the Value factor premium by investing in cheap companies with low valuation ratios per share (Book Value, FreeCash Flow, Earnings, Sales). Academic research and asset managers have shown that this approach has historically led to better returns than Growth stocks and the Market index. But not for the last 13 years! (Figure 1).VBA JournaalTue, 15 Dec 2020 00:00:00 +0100Jeroen Kakebeeke4a37e54d-5361-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/a-value-manager-s-perspective-how-adaptiveness-helped-us-survive-the-value-bear/d7ce7e8a-536f-11eb-8a1e-005056b303d3There are signs of changing fortunes for the Value Investing philosophy, but the first precondition for Value managers to benefit is to have survived the style’s thirteen-year bear market. Fortunately the last decade has seen step changes in the tools available to investors to both better understand the portfolio risks being taken as well as improve investment processes to mitigate the headwinds.VBA JournaalTue, 15 Dec 2020 00:00:00 +0100Robert Davisd7ce7e8a-536f-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/the-man-who-solved-the-market/f79420fe-5375-11eb-8a1e-005056b303d3The Man Who Solved the Markets released late last year, and as enthusiasts looking for additional insights in the world of the secretive hedge fund that Renaissance Technologies (Rentec) is, we were quick to grab a copy.VBA JournaalTue, 15 Dec 2020 00:00:00 +0100Ashutosh Shahi, CFA and Patrick Brongerf79420fe-5375-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/fragility-score-a-tool-for-choosing-between-competing-portfolios/47b0c956-0bef-11eb-8a1e-005056b303d3The Coronavirus pandemic and climate change are stark examples of the uncertainty that long-term investors face. Their consequences are impossible to predict, forcing investors to think of the future in terms of multiple competing scenarios. Such potential scenarios are not typically intended to capture short-term fluctuations on the market, but rather the longer-term effects of potential market dynamics and developments.VBA JournaalThu, 01 Oct 2020 00:00:00 +0200Rik Klerkx and Stefan Lundbergh47b0c956-0bef-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/your-trustee-s-age-matters/5d94e92e-0ba4-11eb-8a1e-005056b303d3A board of trustees has the fiduciary duty to invest in the best interest of a pension fund’s beneficiaries: the participants and the retirees. This is known as the prudent person rule. Trustees’ characteristics should therefore not influence their decision making. Yet, many trustees are middle-aged men. It is not unlikely that these two characteristics influence the investment decisions that trustees make on behalf of beneficiaries.VBA JournaalThu, 01 Oct 2020 00:00:00 +0200Rob Bauer, Rien Bogman, Matteo Bonetti and Dirk Broeders5d94e92e-0ba4-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/what-drives-low-market-based-inflation-measures/1011b564-92e6-11ea-8a1e-005056b303d3Central banks and investors critically monitor market-based inflation measures as key indicators for medium-term inflation expectations. Market-based measures of inflation expectations have experienced a sharp decline over 2019. The euro 5y5y inflation-linked swap rate has fallen from 1.8 percent at the beginning of 2019 to a level of around 1.2 percent at year’s end.VBA JournaalWed, 15 Apr 2020 00:00:00 +0200Dirk Broeders, Gavin Goy, Annelie Petersen and Nander de Vette1011b564-92e6-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/not-a-fee-problem-challenges-facing-traditional-active-asset-managers/4637e961-9864-11ea-8a1e-005056b303d3There’s a common narrative that fee compression is the main problem that long only equity and fixed income active managers face. We disagree. This article explains that new forces of change, in combination with years of complacency during good times, has caused pressure on these traditional long only active manager business models.VBA JournaalTue, 01 Oct 2019 00:00:00 +0200Vivek Singh Jamwal4637e961-9864-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/between-the-lines-implementing-the-three-lines-of-defence-model-from-a-behavioural-perspective/a60f5ee8-97a7-11ea-8a1e-005056b303d3The 2008 financial crisis fueled the popularity of the three lines of defence model as a means to effectively manage the risks within an investment firm. Although this model seems straightforward, its implementation comes with several challenges. Recent years have seen several revisions to the model, often in response to the difficulties of its actual implementation.VBA JournaalTue, 01 Oct 2019 00:00:00 +0200Tom Jaegersa60f5ee8-97a7-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/the-financial-analyst-of-the-future-it-s-not-all-about-data/b760a4e7-974d-11ea-8a1e-005056b303d3The Belgian economic newspaper De Tijd recently published an extensive article (2019) on how alternative data are being used more and more by analysts to develop a more detailed recommendation on a listed stock. A recommendation that stands out from the rest, as alternative data like satellite images and surveys are being used to provide that unique extra insight.VBA JournaalTue, 01 Oct 2019 00:00:00 +0200Serge Ennemanb760a4e7-974d-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/the-stock-bond-correlation-where-to-from-here/8b7a47c6-986f-11ea-8a1e-005056b303d3With earnings and bond yields now converging and starting to move in the same direction once more, many investors are beginning to wonder what the relationship between the two major asset classes will look like going forward. A prolonged reversal of the stock-bond price correlation from negative to positive would have critical implications for multi-asset class portfolio risk management.VBA JournaalMon, 01 Jul 2019 00:00:00 +0200Christoph Schon8b7a47c6-986f-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/factor-benchmark-crowding-hidden-costs-you-do-not-read-about-in-the-prospectus/2a9e4e25-9da3-11ea-8a1e-005056b303d3Imagine you would like to de-risk your asset mix a little. Equity markets are enjoying a ten year bull market run and are still almost at all-time highs, valuations seem stretched and several macro- and geopolitical risks lie ahead. You do not want to make drastic shifts in your asset mix, nor engage in a complex derivatives strategy.VBA JournaalMon, 15 Apr 2019 00:00:00 +0200Anonymous2a9e4e25-9da3-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/benchmarking-strategic-asset-allocation/45e2d5d7-9d24-11ea-8a1e-005056b303d3In recent years the question of benchmark selection is receiving more and more attention from various groups of stakeholders. Almost 10 years ago regulators within and beyond European Union started to conduct investigations on manipulations with LIBOR and other benchmarks. Jurisdictions from around the world have concluded that benchmarks directly affect the value of the financial instruments and other contracts which are referenced to them.VBA JournaalMon, 15 Apr 2019 00:00:00 +0200Ernest Hryhoryev45e2d5d7-9d24-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/pete-chiappinelli-we-look-for-value-and-buy-assets-that-other-investors-avoid/41707f68-9dc9-11ea-8a1e-005056b303d3We spoke to Pete Chiappinelli, based at the headquarters of GMO in Boston, about his outlook for markets. GMO is a value investor that does not use the traditional benchmark approach. Instead, GMO looks for asset classes that are undervalued. They do not try to forecast economies or predict the timing of major market shocks.VBA JournaalSat, 01 Dec 2018 00:00:00 +0100Jaap Koelewijn41707f68-9dc9-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/seasons-natural-disasters-and-perfect-storms/53995393-9dcc-11ea-8a1e-005056b303d3Many commentators argue that we are at the end of the cycle. But are we just facing a typical business cycle winter or are we facing a perfect storm? This is a difficult question, since financial markets are the result of human interactions that are fuelled by emotions (such as fear and greed) and group dynamics.VBA JournaalSat, 01 Dec 2018 00:00:00 +0100Pim van Diepen (l), Stefan Lundbergh (r)153995393-9dcc-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/market-based-indicators-of-homogeneity-and-risk-taking-in-the-banking-sector/ab112561-9dc4-11ea-8a1e-005056b303d3We evaluate the impact of post-crisis regulations on homogeneity and risk taking in the banking sector through market-based indicators. In the past decade, many regulatory reforms have been implemented or are gradually being phased in. Higher capital requirements and stricter rules should make individual banks safer.VBA JournaalSat, 01 Dec 2018 00:00:00 +0100Dirk Broeders (ml), Jacob Dankert (l), Roel Mehlkopf (r), Mark Mink (mr)ab112561-9dc4-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/strategic-allocation-to-emerging-markets-factor-premiums/001e5762-a02b-11ea-8a1e-005056b303d3Many investment portfolios contain a portion of emerging market equities. Common reasons for investors to allocate to this asset class have been fourfold: 1) capture a potential risk premium, 2) diversify a traditional equity/bond portfolio, 3) get some commodity exposure and therefore inflation protection in the portfolio and 4) because it is simply part of the broader market portfolio, see Doeswijk et al. (2014) and Saunders and Walter (2002).VBA JournaalMon, 01 Oct 2018 00:00:00 +0200Wilma de Groot (l), Weili Zhou (r)001e5762-a02b-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/investing-in-stability-around-europe/4ea71e6a-a0d5-11ea-8a1e-005056b303d3In recent years there has been a growing concern about the ‘ring of instability around Europe’. Conflicts, terrorism, and the migration crisis pose threats to the delicate stability in some countries and increase the instability in others. All of these are indicators which scare most traditional investors.VBA JournaalMon, 01 Oct 2018 00:00:00 +0200Tim Evers (l), Martine van Aalst-Ebbers (r)4ea71e6a-a0d5-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/aligning-asset-owner-s-portfolios-to-the-un-sustainable-development-goals/54d81e5e-a01d-11ea-8a1e-005056b303d3The UN Sustainable Development Goals (SDGs) require financing of $ 5-7 trillion annually in order to be met by 2030 (UNCTAD, 2014). This can be seen as both a need and an investment opportunity. The opportunity is the result of transforming a challenge into an investable solution.VBA JournaalMon, 01 Oct 2018 00:00:00 +0200Bruno Besek54d81e5e-a01d-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/valuing-term-premiums-in-emerging-markets-local-currency-yield-curves/60042209-9f65-11ea-8a1e-005056b303d3The emerging markets (EM) local currency sovereign bonds asset class has undergone a period of extraordinary expansion over the last 15 years. The subset of the asset class that is readily accessible to global investors is now composed of 19 countries and has a market value of USD 1,130 billion.VBA JournaalMon, 01 Oct 2018 00:00:00 +0200Lewis Jones (l), Richard Sanders (r)60042209-9f65-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/tonchain-the-future-of-pensions/1d94b368-a350-11ea-8a1e-005056b303d3Many readers of this magazine will have heard of blockchain as an interesting technology with great potential. But what is its potential? Which financial services can be disrupted by using blockchain-based technology? In this article we will discuss an innovative experiment that focused on the application of blockchain for pension contracts.VBA JournaalSun, 01 Jul 2018 00:00:00 +0200Luuk van Benthem (l), Loes Frehen (mr), Joris Cramwinckel (ml), Rik de Kort (r)1d94b368-a350-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/nudge-improving-decisions-about-pensions-using-blockchain-technology/2697a63d-a289-11ea-8a1e-005056b303d3Blockchain technology has become well-known through cryptocurrencies such as Bitcoin. In addition to these, there are many areas in which blockchain technology can change how we currently do business. In essence, a blockchain is a publicly visible ledger that stores transactions which cannot be tampered with.VBA JournaalSun, 01 Jul 2018 00:00:00 +0200Martin van der Schans (l), Joris Cramwinckel (m), Stanimir Ivanov (r)2697a63d-a289-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/why-crypto-assets-should-be-part-of-your-portfolio/43dc9d37-a36a-11ea-8a1e-005056b303d3The aim of this paper is to introduce crypto assets and motivate to include crypto assets in your portfolio. Blockchains and cryptocurrencies have become the buzzwords of this decade. From a practical point of view, however, their use cases are still not widely adopted. With over a thousand crypto assets on the market, only a select few have the potential to live up to the hype.VBA JournaalSun, 01 Jul 2018 00:00:00 +0200Zev de Zeeuw (l), Alex Fauvel (m), Amadeo Brands (r)43dc9d37-a36a-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/cryptocurrencies-in-institutional-investors-portfolios/856b92b0-a36f-11ea-8a1e-005056b303d3The main goal of this research paper is to investigate whether investing in cryptoassets may be attractive for institutional investors. Institutional investors, such as pension funds and endowments, typically have long investment horizons and a high tolerance to risk, making a non-negligible allocation to alternative investments appropriate.VBA JournaalSun, 01 Jul 2018 00:00:00 +0200Fares Ben Ghachem (r), Iavor Botev (l)856b92b0-a36f-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/a-truth-machine-a-rational-choice-framework-to-assess-the-suitability-of-blockchain-solutions-to-solve-transactional-problems/afaf1c76-a365-11ea-8a1e-005056b303d3This is a short version of a paper written for the Risk Management for Financial Institutions MSc. The paper is written on the personal title of the author.VBA JournaalSun, 01 Jul 2018 00:00:00 +0200Matthijs Hanninkafaf1c76-a365-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/near-optimal-portfolio-construction/93dff44f-a59b-11ea-8a1e-005056b303d3Portfolio optimization is the current academic standard for determining an investor’s optimal portfolio. By incorporating future return information and the investor’s goal into the optimization problem, it aims to determine the investor’s optimal investment decision.VBA JournaalSun, 15 Apr 2018 00:00:00 +0200Martin van der Schans93dff44f-a59b-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/mifid-ii-final-countdown-towards-go-live/d3c13206-a737-11ea-8a1e-005056b303d3The 3 January 2018, was a date marked in the calendar of nearly every financial market professional as the day the revised Markets in Financial Instruments Directive (MiFID II) effectively entered into force in the Netherlands/European Union. These past few months have seen frantic preparation and implementation efforts for what is shaping up to be one of the largest regulatory changes of the decade.VBA JournaalFri, 01 Dec 2017 00:00:00 +0100Jeroen van der Kroft (r), Arjan Bom (l)d3c13206-a737-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/beyond-the-discussion-active-versus-passive-and-factor-investing/4dc6c7f5-a828-11ea-8a1e-005056b303d3This article challenges the continuing discussion among institutional investors about investing in active versus passive products and factor investing. I call this discussion obsolete and will be asserting that the major obstacle facing institutional investors is not the lack of alpha generating capacity of active managers but rather the investor’s ill-conceived process of portfolio construction.VBA JournaalSun, 01 Oct 2017 00:00:00 +0200Fons Lute4dc6c7f5-a828-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/global-macro-embracing-the-unthinkable/77885c65-aca1-11ea-8a1e-005056b303d3A changing geo-political landscape, low interest rates, and changing pension deals challenge investors in navigating their asset base through uncertain financial markets. The question is how unconventional monetary policy of the major central banks around the world unfolds and how financial market dynamics evolve from here, especially when interest rates rise.VBA JournaalSat, 01 Jul 2017 00:00:00 +0200Roy Hoevenaars (r) Pieter Jelle van der Sluis (l) Gerlof de Vrij (m)77885c65-aca1-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/valuing-uncertainty-using-disruptive-scenarios-and-real-options/8c4de886-abc1-11ea-8a1e-005056b303d3Investment decision making methodologies like Discounted Cash Flow (DCF) require forecasts. However, what if the future cash flows are highly uncertain? Disruptive scenarios have been used for more than four decades to “think the unthinkable” and to make uncertainties explicit. For internal decision making of the company, DCF has been supplemented with the real option theory, to value uncertainty.VBA JournaalSat, 01 Jul 2017 00:00:00 +0200Paul de Ruijter8c4de886-abc1-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/samenvatting-van-rmfi-scriptie-expectation-convergence-and-herding-behavior-among-professional-forecasters/20ad2af1-add6-11ea-8a1e-005056b303d3Professional forecasters’ expectations can have a significant impact on financial markets. Hommes (2011) points out that “individual expectations about future aggregate outcomes is the key feature that distinguishes social sciences and economics from the natural sciences”. He mentions that weather forecasts do not influence the probability of rain, but that economic forecasts do influence financial markets.VBA JournaalSat, 15 Apr 2017 00:00:00 +0200Rutger Groot20ad2af1-add6-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/interview-dan-ariely/d06d5524-ad8c-11ea-8a1e-005056b303d3Koelewijn: I’ve read your book The Honest Truth about Dishonesty with interest. Could you please tell me about your most important findings with regards to dishonesty and integrity?VBA JournaalSat, 15 Apr 2017 00:00:00 +0200Jaap Koelewijnd06d5524-ad8c-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/a-robust-approach-to-investing-in-an-uncertain-world/32800821-b17c-11ea-8a1e-005056b303d3Ten years ago many of us were struggling with the “unthinkable” Japanese scenario of lower interest rates for longer. What if the same would happen in Europe? Most of us faced problems integrating this very unlikely possibility in a strategic decision process dominated by traditional Asset Liability Modelling (ALM). Today, we know that what was “unthinkable” back then became reality.VBA JournaalSat, 01 Oct 2016 00:00:00 +0200Stefan Lundbergh (l) Mark Petit (r)32800821-b17c-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/samenvatting-van-rmfi-scriptie-liquidity-mismatch-risks-and-the-determination-of-liquidity-terms-for-corporate-credit-funds/53817b07-b3ef-11ea-8a1e-005056b303d3Corporate credit mutual funds (CCFs)2 offering unconstrained daily liquidity to its investors suffer from a fallacy of composition due to their collective action problem. The problem arises if a large part of the fund investors demand liquidity while the fund invests in less liquid corporate bonds.VBA JournaalFri, 01 Jul 2016 00:00:00 +0200Mark Geene53817b07-b3ef-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/the-inflation-puzzle/39b39f2e-b825-11ea-8a1e-005056b303d3Inflation plays a major role in the global economy and financial markets. Globally, central banks have adopted inflation targeting as their single most important target, having been haunted by periods of hyperinflation and deflation in the past. They flood the markets with liquidity and are willing to risk many unknown and unintended consequences, just to get inflation back in its presumed comfort zone.VBA JournaalTue, 01 Dec 2015 00:00:00 +0100Gerlof de Vrij39b39f2e-b825-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/why-options-tell-you-how-to-make-money-on-stocks/913c5556-bc64-11ea-8a1e-005056b303d3In theory, a stock option should simply reflect expectations that have already been priced in its underlying stock. However, by investigating the option trading measures implied volatility (IV) spread and skew in accordance with recent research, this study evidences that option markets lead stock markets. In particular, the higher the observed IV spread value, the higher the predicted positive excess returns on the respective stock.VBA JournaalWed, 01 Jul 2015 00:00:00 +0200Felix Gornik913c5556-bc64-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/art-and-science-judgement-calls-increasingly-complement-mathematical-models-in-asset-allocation-decisions/a21289f2-bc57-11ea-8a1e-005056b303d3The interview in this issue of the VBA Journaal is with Roger Urwin of the consultancy firm Towers Watson. Having worked in various positions at Towers Watson over the past 25 years, Mr. Urwin has an extensive experience working with institutional clients from different countries and has been involved in a wide range of investment issues, ranging from optimal asset allocation to ESG incorporation and governance.VBA JournaalWed, 01 Jul 2015 00:00:00 +0200Jaap Koelewijna21289f2-bc57-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/return-on-insurance-innovation-of-a-rewarding-niche-fixed-income-strategy/bc444a8b-c90b-11ea-8a1e-005056b303d3Fundamental changes in industries can offer interesting opportunities for investors to earn attractive risk-adjusted returns. The combination of a major regulatory change and the fall-out from the financial crisis result in such opportunities for investors in the European insurance sector.VBA JournaalTue, 01 Oct 2013 00:00:00 +0200FLTR: Ruurd Haan, Andrew Townend and Oscar Peschbc444a8b-c90b-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/farmland-investment-reaping-the-rewards-of-illiquidity/ec967e29-c9a6-11ea-8a1e-005056b303d3Upheavals in international financial markets, low yields on traditional investments, and the threat of inflation resulting from quantitative easing are causing an increasing number of investors to evaluate alternative asset classes.VBA JournaalMon, 01 Jul 2013 00:00:00 +0200Rik van Beers, Sander Bierman, Charles Elworthy, Dane Rook, Jérôme Schoumannec967e29-c9a6-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/hedging-longevity-risk-a-case-study-analysis-of-hedge-effectiveness/da5497b2-cc34-11ea-8a1e-005056b303d3Longevity risk has jumped to the forefront of pension risk management in recent years, as changing actuarial assumptions and low interest rates have placed additional stress on the funding ratios of pension plans.VBA JournaalSat, 01 Dec 2012 00:00:00 +0100Judit Vennix, Anita Joosten, Frans Claes, Martijn Tans, Chris Madsen, Sylvain de Cromda5497b2-cc34-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/liability-based-benchmarking/4039b022-d4cd-11ea-8a1e-005056b303d3Investment managers are very familiar with market-based benchmarks that are used in the context of traditional fixed-income and equity portfolios. These benchmarks reflect the strategic direction of the respective portfolios and play a crucial role in both the risk analysis of the portfolio and the performance evaluation of the manager. Moreover, these benchmark portfolios are based on well-defined rules and typically use tradeable market instruments.VBA JournaalThu, 01 Dec 2011 00:00:00 +0100Martin Prins and Bas Peeters4039b022-d4cd-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/low-volatility-equity-strategies-the-greatest-anomaly-in-finance/59219dea-d4c7-11ea-8a1e-005056b303d3Traditional finance is based upon the idea that risk is rewarded with higher average returns. It may surprise many investors to learn, however, that over the past 40 years U.S. portfolios comprised of high-risk stocks have substantially underperformed their lower-risk counterparts. This so-called low-volatility anomaly offers intriguing potential opportunities for investors.VBA JournaalThu, 01 Dec 2011 00:00:00 +0100Sander van Ouwerkerk59219dea-d4c7-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/low-volatility-investing-a-long-term-perspective/8fbfe0cc-2507-11eb-8a1e-005056b303d3Over the long-run, risk and return within equity markets are not related. Selecting stocks with a higher risk, does not automatically lead to a higher return (e.g. see a recent discussion on this topic in VBA journaal, by van Vliet (2008) and de Zwart and van Dijk (2009)). This empirical finding contradicts investment theory, which states that higher risk should give a higher expected return.VBA JournaalThu, 01 Dec 2011 00:00:00 +0100Pim van Vliet8fbfe0cc-2507-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/are-performance-fees-beneficial-to-mutual-fund-investors/8ff7b2bd-d7ad-11ea-8a1e-005056b303d3Bonuses and incentive fees have raised considerable debate since the global financial crisis of 2008. Public and media are skewed towards the opinion that incentive fees for CEOs, bankers and asset managers have led to excessive risk taking and are not in the interests of clients.VBA JournaalSat, 01 Oct 2011 00:00:00 +0200Peter van Doesburg en Marcel de Kleer (Wealth Management Partners)8ff7b2bd-d7ad-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/four-lessons-for-institutional-investors-regarding-high-frequency-trading/3cf5a07d-da4b-11ea-8a1e-005056b303d3Financial markets worldwide have changed dramatically in recent years due to technological improvements. Not long ago, the majority of the stock market volume was executed manually on the exchange floor through hand signaling and shouting. Nowadays, most orders are executed at great speed by fully automated systems.VBA JournaalFri, 15 Apr 2011 00:00:00 +0200Dirk Broeders, David Rijsbergen and Robin Vogelaar3cf5a07d-da4b-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/can-theoretical-risk-premiums-be-captured-by-investing-in-passive-funds/292dd3a8-db01-11ea-8a1e-005056b303d3Finance theory argues that investors can earn risk premiums by investing in assets that are not risk free, such as stocks (equity risk premium), government bonds (term premium) and corporate bonds (default premium). Theoretical portfolios, such as the Fama and French (1992) factors, are often used to gauge the economic magnitude of these premiums.VBA JournaalWed, 01 Dec 2010 00:00:00 +0100f.l.t.r. Laurens Swinkels, Patrick Houweling, Joop Huij and David Blitz292dd3a8-db01-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/imqubator-innovation-in-seeding-hedge-fund-managers/fc278645-da59-11ea-8a1e-005056b303d3Innovation is a word often used to grab the attention of prospective investors. However, the actual benefits to investors, expressed in riskreward terms, of being innovative are sometimes less easy to describe. Why? Because evaluating new investment strategies requires other skills and tools than evaluating those with a long track record.VBA JournaalWed, 01 Dec 2010 00:00:00 +0100Jeroen M. Tielman and Rikard Lundgrenfc278645-da59-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/the-equity-risk-premium-and-parameter-uncertainty/0eefc19a-e7ad-11ea-8a1e-005056b303d3The design of the financial set-up of a pension fund relies heavily on the financial parameters, most notably the discount rate for pension liabilities and the expected return on assets. It is therefore important to all stakeholders that the parameters are chosen in the best possible way. For Dutch pension funds, these parameters are bounded by legal guidelines.VBA JournaalThu, 15 Apr 2010 00:00:00 +0200Tjitsger Hulshoff0eefc19a-e7ad-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/diversification-and-the-inefficiency-of-the-market-cap-portfolio/943543e7-e6e8-11ea-8a1e-005056b303d3Equity indexation using Market Cap-weighted portfolios appears so natural to investors today that it is easy to forget that indices have not always been considered as central to the investment process. The size of asset under management which are benchmarked to Market Cap Weighted indices has grown enormously over the last thirty years,...VBA JournaalThu, 15 Apr 2010 00:00:00 +0200Yves Choueifaty943543e7-e6e8-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/disinflation-a-legacy-from-the-financial-crisis/7962d5fc-dd74-11ea-8a1e-005056b303d3The financial crisis has shaken the economic environment to its core, exposing the general population to the despair of confidence withdrawal brought on by large personal financial loss and loss of faith in the financial system. Economic loss was evident in the statistical observation of sharply negative GDP growth in most major economies. The resultant output gap, that is the difference between actual and potential GDP, widened to a multi-decade extreme.VBA JournaalThu, 01 Oct 2009 00:00:00 +0200Eric Siegloff (r), Willem Verhagen (l)7962d5fc-dd74-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/do-value-stocks-outperform-in-a-prolonged-downturn/e748bdbc-e9e5-11ea-8a1e-005056b303d3There is substantial empirical evidence suggesting that value stocks outperform growth stocks, for example Fama and French (1998) and Brandes Institute (2007). Fundamental justifications for superior performance of value stocks are also ample. Frequently, arguments are rooted in behavioural aspects, such as the fact that growth stocks tend to be over-researched by analysts.VBA JournaalMon, 01 Dec 2008 00:00:00 +0100Drs. Ivan D. Moen RBA (l), Drs. Jelte de Boer CFA (r)e748bdbc-e9e5-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/knowledge-management-in-asset-management-firms/2e87d944-eacd-11ea-8a1e-005056b303d3An asset manager’s business model is in essence a fiduciary model: all efforts are focused on wealth creation for its clients. Although the output can be measured in physical monetary units, the asset management process itself is highly dependent on data, information and knowledge. Better still, most asset managers claim to exert specific knowledge as a result of which clients will benefit in terms of better performance.VBA JournaalWed, 01 Oct 2008 00:00:00 +0200Eduard van Gelderen2e87d944-eacd-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/130-30-investing-just-another-hype-or-here-to-stay/6fd983e1-ec5b-11ea-8a1e-005056b303d3By following a long-only investment approach, traditional investment funds can only benefit from rising stock prices. A new generation of funds, popularly known as 130/30 funds, aims to achieve superior returns by having the additional flexibility of selling short unattractive stocks, which enables them to turn falling share prices into additional positive returns.VBA JournaalTue, 01 Jul 2008 00:00:00 +0200David Blitz6fd983e1-ec5b-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/investing-in-cat-bonds/abbf21da-eddd-11ea-8a1e-005056b303d3Catastrophe bonds (cat bonds) are a relatively new but fast growing and attractive investment opportunity. Cat bonds are designed to transfer insurance risk resulting from extremely large and costly natural catastrophes from (re)insurance companies to the capital markets in return for a risk premium. In addition to the attractive expected return, another main benefit of cat bonds is the lack of correlation with other asset classes.VBA JournaalTue, 01 Jul 2008 00:00:00 +0200Peter-Jan de Koning (l) en Rogier Leeuwenburgh (r)abbf21da-eddd-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/mergers-and-acquisitions-in-the-dutch-stock-market/acf536d3-edb3-11ea-8a1e-005056b303d3In this study, we examine the Dutch mergers and acquisitions market for the ten-year period 1997-2006. This study only includes cases where the target company was quoted on the Dutch stock exchange. On average in the 20 days before the announcement of a takeover, targets outperform the market by 5.4%, while on the day of the announcement the stock enjoys an additional premium of 14.7%, resulting in a compounded total premium of 20.9%.VBA JournaalTue, 01 Jul 2008 00:00:00 +0200Ronald Doeswijk (l), Adriaan Floor (r)acf536d3-edb3-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/constructing-an-sri-multi-manager-portfolio/e45aaf76-f05a-11ea-8a1e-005056b303d3Socially Responsible Investing (SRI) is becoming increasingly relevant to institutional investors. In this paper we will review the various approaches to SRI from the perspective of a multi-manager. We will focus on several important issues that need to be considered when creating an SRI portfolio using external managers, as we find that investors with SRI goals should pay particular attention to some specific risk characteristics.VBA JournaalSat, 01 Dec 2007 00:00:00 +0100Sven Smeets (r) and Annemiek Steinmetz (l)e45aaf76-f05a-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/dreaming-of-africa/a4682739-f42e-11ea-8a1e-005056b303d3Sub-Saharan Africa has traditionally been negatively associated with widespread poverty, war, drought and severe political and economic instability, despite its valuable mineral and land resources. International portfolio investment in these markets has lagged the large flows into the Asian and Latin American emerging markets. However, positive developments in recent years are increasingly attracting the attention of large hedge funds and real money funds.VBA JournaalSun, 01 Jul 2007 00:00:00 +0200Michael Wachiraa4682739-f42e-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/emerging-markets-debt-evolving-rapidly/f80d3460-f43c-11ea-8a1e-005056b303d3“With enough tailwinds, even turkeys can fly” captures the sceptic’s opinion about emerging markets. Over the last couple of years Emerging Markets Debt (EMD) has performed very well and as a result attracted a lot of new investors. What about the future? Are emerging markets, after their run up, going to bust as they did before? Where are the opportunities in the long term?VBA JournaalSun, 01 Jul 2007 00:00:00 +0200Rob Drijkoningen1 (l) and MartenPieter van Harten2 (r)f80d3460-f43c-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/fee-structures-in-non-listed-real-estate-funds-for-institutional-investors/7c278ab9-f5af-11ea-8a1e-005056b303d3Investing in non-listed real estate funds has increased substantially over the last decade. Although indirect investing in real estate has existed for a long time little is known about the costs associated with investing in these funds. This article provides an overview of typical fee structures related to non-listed real estate funds for institutional investors. The topic is important for a number of reasons.VBA JournaalFri, 01 Dec 2006 00:00:00 +0100Ville Raitio7c278ab9-f5af-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/managing-risk-in-multi-asset-liability-driven-portfolios/683b4568-f837-11ea-8a1e-005056b303d3Modern institutional portfolios are often complex ‘Multi-Manager, Multi-Asset, Liability Driven’ or in short, ‘MA/LD’ strategies for which the risk management and analytical tools are not yet fully developed. The article outlines the risks that this lack of risk management creates, and pleads for the development of an integrated ‘analytical platform’ that supports the various specialists involved in these portfolios with quantitative instruments.VBA JournaalSun, 01 Oct 2006 00:00:00 +0200Oscar Vermeulen (l) Richard Jacobs (r)683b4568-f837-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/setting-up-a-performance-attribution-framework/be2d24cc-f833-11ea-8a1e-005056b303d3The purpose of any performance attribution system can be summarized in one phrase: creating and supplying transparent reports to target audiences. Unfortunately, defining the content of the reports is far from trivial; it depends on the investment process as well as the audience. For instance, trustees of pension plans are focused on main investment decisions.VBA JournaalSun, 01 Oct 2006 00:00:00 +0200Marten Klok (r) Lucas Vermeulen1 (l)be2d24cc-f833-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/sources-of-hedge-fund-risk-and-return/0e94a8d6-fb30-11ea-8a1e-005056b303d3During the last couple of years, the hedge fund industry has experienced rapid growth. As a result of positive returns and strong inflows from both private and especially institutional investors, assets under management have reached an estimated USD 1.1 trillion (Tremont 2005). While this number is still relatively small compared to the overall size of financial markets, the presence of hedge funds is increasingly felt.VBA JournaalSat, 15 Apr 2006 00:00:00 +0200Drs. A.J. van Stijn RBA (l), Drs. M.J. Geene RBA (r)0e94a8d6-fb30-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/the-long-term-risk-and-return-effects-of-investing-in-private-equity/bd2917b4-fb2b-11ea-8a1e-005056b303d3Private equity is gaining popularity with Dutch institutional investors. At first sight its characteristics appear very attractive: high returns, low risk and low correlation with public equity and bonds. However, the risk characteristics in particular may be biased by the appraisal-based nature of private equity returns.VBA JournaalSat, 15 Apr 2006 00:00:00 +0200Gerben de Zwart, David Blitz, Mikan van Zanten, Brian Frieserbd2917b4-fb2b-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/alternative-assets-from-a-liability-management-perspective/f0db5941-fb32-11ea-8a1e-005056b303d3Investments in alternative assets have the potential to substantially improve expected returns and downside risk of an investor. However, this potential is constrained by the need to manage the risk from asset and liability mismatches (“ALM Mismatch”). We have chosen to focus on four of the more mainstream alternative asset classes: commodities, property, private equity and hedge funds.VBA JournaalSat, 15 Apr 2006 00:00:00 +0200Patrick Lighaam (l), Mark Teeger (m), Gwion Moore (r)f0db5941-fb32-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/global-value-added-opportunistic-real-estate/f6addc2a-fb33-11ea-8a1e-005056b303d3Real estate as an asset class has long been an essential component of the overall portfolio mix for institutional investors. Diversification features and favorable risk/return metrics in general have been the most important drivers for including this asset category in investment portfolios.. Institutional investors operating in large local markets have typically held property investments directly in their local markets, while investors with smaller local markets have a longer history of cross border real estate investing.VBA JournaalSat, 15 Apr 2006 00:00:00 +0200Børge Tangeraas and Mark Kouters,f6addc2a-fb33-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/dual-duration-matching/774f738f-fb43-11ea-8a1e-005056b303d3Liability-relative investment approaches are described in two major strands of the literature. The more general strand concerns surplus asset allocation, which adapts the mean-variance return-risk balancing notions of Markowitz efficient frontiers to include liabilities as an asset held short. And there is the cash-flow matching and duration-matching strand, exemplified by the many articles on this topic by Leibowitz (1992).VBA JournaalThu, 01 Dec 2005 00:00:00 +0100Barton Waring774f738f-fb43-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/search-for-the-holy-grail/bbb8867a-fc9b-11ea-8a1e-005056b303d3“Mainstream finance can have an allergic reaction when dealing with the world of social responsible investing” said one of the panellists at the VBA seminar. This statement exactly highlights why it is important to introduce mainstream finance to the broader world of SRI.VBA JournaalThu, 01 Dec 2005 00:00:00 +0100Ms. P. Dutronc, Innovest – Mr. H. de Ruiter, ABP – Mr. E. Moolenburgh, ABN AMRO – Mr. M. Smith, Prometheus Advisory services – Mr. F. Lute, Blue Sky Groupbbb8867a-fc9b-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/trends-and-developments-in-the-long-term-incentive-contracts-of-dutch-executives/c360f692-fc0c-11ea-8a1e-005056b303d3In the past few years, executive compensation has been one of the most heated topics in the Dutch corporate world. The popular press in particular, has referred to the compensation of Dutch executive board members as ‘excessive’, and Dutch executives are being typified as greedy and solely focused on enriching themselves at the expense of the stakeholders of the company.VBA JournaalThu, 01 Dec 2005 00:00:00 +0100Erik Terpstra (r), Dirk Swagerman (l)c360f692-fc0c-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/sustainability-reporting/03c6ff6e-fe74-11ea-8a1e-005056b303d3This article gives an overview of developments in sustainability (also labelled corporate social responsibility) reporting, a topic that is of clear interest to investors. Retail social investors are looking for more information from companies through for example sustainability reports (Haigh, 2005).VBA JournaalSat, 01 Oct 2005 00:00:00 +0200Ans Kolk03c6ff6e-fe74-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/the-economics-of-and-trends-in-securities-fraud-class-action-litigation/5202cb5d-fe75-11ea-8a1e-005056b303d3In the US, class action litigation has long been a common method for people to seek redress when they have been injured in a common manner by common defendants. This also applies to shareholders. In response to the many accounting scandals of the past five years, a large number of accounting-related securities class action lawsuits have been filed.VBA JournaalSat, 01 Oct 2005 00:00:00 +0200Hans de Ruiter5202cb5d-fe75-11ea-8a1e-005056b303d3https://cfasociety.nl/en/publications/liability-driven-investments-an-active-fixed-income-approach/1e5003ee-04a2-11eb-8a1e-005056b303d3In this article we will explore the subject of liability driven investments (LDI). FTK regulation in the Netherlands, changes in internal accounting rules (IAS 19) and insurance regulation (Basle II and Solvency II) will force pension funds and insurers to focus on how well their assets are set to meet their liabilities rather than only on asset appreciation. Here, we will talk about the impact on pension funds, but the same problems also face insurance companies.VBA JournaalFri, 15 Apr 2005 00:00:00 +0200Emanuele Ravano, Marc B.M. van Heel1e5003ee-04a2-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/liability-driven-investment-a-four-step-process/3c2d543d-049f-11eb-8a1e-005056b303d3The investment strategies pursued by pension schemes are changing. During the past decade, we have moved away from peer group comparisons to scheme specific benchmarks based on market indices. Now we are seeing a shift towards ‘liability driven’ strategies. This is not a new era; it is simply an ongoing evolution with each successive shift in investment philosophy exhibiting a common thread – the tightening of the link between assets and liabilities.VBA JournaalFri, 15 Apr 2005 00:00:00 +0200Tarik BenSaud, Marko van Bergen3c2d543d-049f-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/using-pooled-inflation-swaps-to-better-match-pension-liabilities/5c7ac58c-04a4-11eb-8a1e-005056b303d3Tighter funding and transparency requirements for Dutch pension plans are prompting sponsors to review how they manage and monitor their funds. The new rules slated to take effect next year (2006) under the Financieel Toetsingskader (or FTK) will require plans to mark both assets and liabilities to market and satisfy stringent tests on current and projected funding levels.VBA JournaalFri, 15 Apr 2005 00:00:00 +0200Susanne van Dootingh5c7ac58c-04a4-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/history-of-hedge-funds/ac875854-05b0-11eb-8a1e-005056b303d3In an investor survey published by a consultancy firm in March 2000, a European chief investment officer (CIO), asked whether his organisation currently invested in hedge funds, was quoted saying: ‘No, we don’t! It is completely obvious that hedge funds don’t work. We are not a casino.’1 The survey was published at the peak of the equity bull market.VBA JournaalWed, 01 Dec 2004 00:00:00 +0100Alexander M. Ineichenac875854-05b0-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/a-critical-perspective-on-20-years-of-academic-finance-research/c36a38d1-05b3-11eb-8a1e-005056b303d3The editorial board of the VBA Journaal thought it might be interesting for its readers to do some interviews with people who have been active participants in academic research on finance and investments over the past 20 years (or part there of), and who have experience in both the academic and money management world.VBA JournaalWed, 01 Dec 2004 00:00:00 +0100Hans de Ruiterc36a38d1-05b3-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/institutional-money-sector-and-dollar-effects-on-the-dutch-aex-index/18efaf3a-0600-11eb-8a1e-005056b303d3The Amsterdam Exchanges Index (AEX), the main index of Euronext Amsterdam, produced a tremendous performance in the period from December 1987 to August 1998 relative to the MSCI World Index. The cumulative outperformance in that period was 165%, which is equal to an annual compounded average of 9.5%.VBA JournaalFri, 01 Oct 2004 00:00:00 +0200Ronald Doeswijk18efaf3a-0600-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/deflators-an-introduction/befddc7f-0f0a-11eb-8a1e-005056b303d3This article discusses the use of deflators for the valuation of financial contracts like insurance policies and pension plans. Many of such contracts contain option features. For example, several life insurance policies contain rate of return guarantees. Pension funds typically aim for full indexation of the benefits to price inflation, but in scenarios where inflation is extremely high or the funding ratio is low, indexation can be reduced or skipped altogether.VBA JournaalThu, 01 Jul 2004 00:00:00 +0200Frank de Jongbefddc7f-0f0a-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/the-role-of-private-debt-in-managing-liability-risk/ade7af2a-112f-11eb-8a1e-005056b303d3Fixed income markets have seen enormous developments in the last decade. Whereas before interest rates and currency were the driving forces behind fixed income portfolios, nowadays credit investments get at least the same level of attention. Not only because credit risk1 offers an additional source of investment returns, but also because of the many different shapes and risk-return characteristics in which it is available to investors.VBA JournaalThu, 15 Apr 2004 00:00:00 +0200Eduard van Gelderenade7af2a-112f-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/the-profitability-of-insider-trades-in-the-dutch-stock-market/319447b6-12fd-11eb-8a1e-005056b303d3The use of insider knowledge in financial markets is illegal. Market participants should only deal on publicly available information, so that a level playing field is created for all. Otherwise, public confidence in financial markets would be undermined.VBA JournaalMon, 01 Dec 2003 00:00:00 +0100Mathijs A. Biesta (r) Ronald Q. Doeswijk (l) Han A. Donker319447b6-12fd-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/the-dangers-of-using-correlation-to-measure-dependence/a6e9cb9c-16e5-11eb-8a1e-005056b303d3Correlation is without doubt the single most important parameter in modern portfolio theory, where it is used to measure the dependence between the returns on different assets or asset classes. The rule is simple: low correlation makes for good diversification and highly correlated assets or asset classes are to be avoided.VBA JournaalSat, 01 Mar 2003 00:00:00 +0100Harry M. Kata6e9cb9c-16e5-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/global-stock-country-and-sector-momentum-strategies/c2ec2190-16ca-11eb-8a1e-005056b303d3Academic research has shown that a simple investment strategy based on momentum in stock returns is profitable. Former research mainly concentrated on stock momentum in the United States (Jegadeesh & Titman, 1993 and Chan, Jegadeesh & Lakonishok, 1996), but also on stock momentum in other regions (Rouwenhorst, 1999).VBA JournaalSat, 01 Mar 2003 00:00:00 +0100Anita JoostenHendriks, Judit Vennixc2ec2190-16ca-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/hedge-fund-mania-some-words-of-caution/07b53b68-16f0-11eb-8a1e-005056b303d3Hedge funds are on their way to become the next big thing in investment management. New funds start every day, hedge fund marketing is intensifying and many institutional investors are showing interest. However, hedge fund investing is not without complications. It is therefore important for investors to understand what hedge funds are and especially what they are not. This article gives some background information and provides some critical comments in the process.VBA JournaalSun, 01 Jul 2001 00:00:00 +0200Harry Kat07b53b68-16f0-11eb-8a1e-005056b303d3https://cfasociety.nl/en/publications/exchange-traded-funds-etf-s/512219f7-17ae-11eb-8a1e-005056b303d3Equity markets have gone through remarkable change since stocks were invented hundreds of years ago. Since 1940, mutual funds gave investors a practical way to diversify their holdings and achieve professional asset management. With the advent of modern portfolio theory, index funds emphasized risk management and lowered investment management and transaction costs. And along the way, financial derivatives came to the foreground, giving investors flexibility in achieving their equity exposure.VBA JournaalSun, 01 Apr 2001 00:00:00 +0200Drs Marko van Bergen RBA512219f7-17ae-11eb-8a1e-005056b303d3