Author Archive for Crevan Begley

Multi-asset investing: Wizard of Odds

In probability theory the Kelly criterion is a way to decide the optimal size of a series of bets. It was discovered by a physicist named Kelly who figured out the idea when he was working in telecommunications research at Bell Labs in the 1950s. Kelly figured out the formula which showed the optimal amount

November 25, 2016 Categories: Investment, Market Updates, Uncategorized

DB Pensions – Does cashflow impact your asset allocation?

Does cashflow affect the way you should invest? Absolutely; in this blog I will explain two features that arise when setting investment strategy. The setting of a pension fund’s overall asset allocation is influenced by many differing factors. Underfunded, mature funds not only have a shortened period to address any deficit but also need to

To Hedge or Not to Hedge – Blog 3

This blog is one of a series that explores some of the features and drivers of the term structure of interest rates and how they can influence the hedging question. In my last blog we saw that hedging strategies will only underperform if interest rates increase by more than what is currently priced into the

To Hedge or Not to Hedge – Blog 2

Liability hedging has always been the hardest investment decision for pension trustees to make, but right now, with interest rates so low, it seems that all the risks are one-sided. Faced with a low interest rate environment many pension trustees are considering a delay to planned liability hedging. In my first blog we looked at

To Hedge or Not to Hedge

Discussions around liability hedging have never been so topical. Notwithstanding the selloff in real and nominal interest rates seen since January of this year, rates are still at very low levels and many question whether now is the right time to hedge. Apart from the economics there are also behavioural aspects in play, most notably

The Smoke and Mirrors behind Quantitative Easing

Another QE bazooka from the Central Banks, with the European Central Bank (ECB) announcing last month that another €1.1 trillion of money will be pumped into the Eurozone economy. Over the past number of years I have heard time and time again that the massive rounds of quantitative easing (QE) taken by many of the

Optimal hedging: Bespoke topiary for pension schemes

  In a recent blog my colleague David Rae argued that there is no magic number for the right level of leverage for a derivative based liability hedge. Like so much in pensions it depends on the scheme. Similarly my personal experience in designing optimal hedging strategies for my clients (optimal in the sense of

Nov 20, 2014 Categories: Liability Hedging

2014 euro interest rate and inflation outlook – a pension scheme perspective

  Many investors are breathing a sigh of relief as; finally, the Eurozone is showing signs of an early stage economic recovery Well, not that I want to spoil the party, but I think that market optimism may have got ahead of the fundamentals. In my opinion, it will probably take a number of years

Mar 3, 2014 Categories: Uncategorized

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