The main aim of this paper is to analyze if pension funds managers are able to implement style timing strategies, one topic very important for an efficient management of an investment portfolio. Besides it is analyzed the stock-picking abilities of these managers. To this end, conditional and...

This study investigates the relationship between governance, investment performance and asset allocation of pension funds in Switzerland. Our sample includes survey data from 139 Swiss occupational pension plans for which we develop a governance metric comprising attributes of organisational...

I empirically investigate some of the key features of cryptocurrency returns and volatilities such as their relationship with traditional asset classes, as well as the main driving factors behind market activity. The main empirical results suggest that while there is a mild relationship between...

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

In this review paper we recall a dynamic stochastic accumulation model for determining optimal decision between stock and bond investments during accumulation of pension savings. The model has been proposed and analyzed by the authors. We assume stock prices to be driven by a geometric Brownian...

Many practitioners annualize VaR just like the standard deviation. We show that this approach is incorrect, and a more sophisticated formula should be used for deriving a periodic VaR from parameters of the daily returns distribution. Another problem addressed here is the distribution of daily...

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...

Under the assumption of perfect foresight, the paper overlooks the one of two elements of market timing: market return sign forecasting. With that, the paper focuses on the second: the ability to constitute a portfolio with the most “relevant” assets. This paper looks exclusively on the...

Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure and can be successfully used to construct robust portfolios that perform well during equity market drops. We start with a classical 60 percent Bonds/ 40 percent Stocks portfolio with monthly rebalancing that...

We discuss performance of some known market anomalies like equal-weighted index, low volatility stock index, factor anomalies of Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz. We suggest the utilization of these anomalies through dynamic risk allocation in portfolios based on these...