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The Right Tool in the Right Hands: The Role of Alternative Assets in a Long-term Institutional Portfolio

Yang, Yuxin; Wong, Lorelei
Master thesis
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2021947.pdf (2.080Mb)
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http://hdl.handle.net/11250/2580327
Utgivelsesdato
2018
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Samlinger
  • Master of Science [1116]
Sammendrag
We compare the investment philosophy and management style of the Norwegian

Government Pension Fund Global (GPFG), Canada Pension Plan (CPP), and

Australian Future Fund (FF) with focus on extracting the role of alternative assets

in these portfolios. We decompose fund returns into manager skill (alpha) and

exposure to (1) the market, and other compensated factors, or (2) benchmark

indices. We find that GPFG and FF’s returns are consistent with their stated models.

FF’s results indicate that if deployed effectively, exposure to alternative assets can

improve risk-adjusted performance. However, as we observe for CPP, the illiquid

and opaque nature of alternative assets can also provide scope for managersmoothed

returns, especially in combination with internal investment management.

Overall, our paper proposes that the inclusion of alternative assets in a long-term

institutional portfolio can provide diversification benefits, but we caution that

accurate and timely disclosure of investment performance is critical. The

performance of alternative assets should be assessed with a healthy degree of

scepticism in cases where management and reporting of the assets is performed by

the same group.
Beskrivelse
BI, 201.. Masteroppgave(MSc) in Master of Business - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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