AQR Launches Annual Competition for Academic Finance Papers

AQR Capital Management, a $40-billion asset management firm with a focus on alternatives, has launched a $100,000 annual competition for academic finance papers.

(October 3, 2011) — AQR Capital Management — which has earned aiCIO‘s strategic risk management award this year — has launched their own award for applied academic papers in finance.

“Given the huge burden of future financial obligations, it’s important to have leading thinkers in analytical finance and economics focus their intelligence on methods to enhance investment performance,” states David G. Kabiller, founding partner of AQR and Head of Client Strategies. “The AQR Insight Award has been launched in recognition of the need to promote academic research that illuminates the drivers of successful investing and that can be applied to real-world portfolios.”

According to a release on the study, the competition seeks unpublished papers that analyze investment in liquid assets for both tax-exempt institutional and taxable investor portfolios, with areas of focus including asset allocation, security selection, portfolio implementation, and risk management. “The papers will be assessed according to the novelty and acuity of their insights, and the potential value of those insights deployed within an investor’s portfolio. The former will be weighed by the academic members of the panel, the latter by the investment managers,” a statement by the $40-billion asset management Greenwich, Connecticut-based firm asserts.

Kabiller continues: “AQR is eager to engage these researchers. Based on our experience in helping ideas germinate into actual strategies, we do expect the process to stimulate our own innovation – but our goal here is to recognize the acorns of good research.”

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Initial entries are due in January 2012 with up to five finalists invited to present their papers to the panel of judges, which consists of senior members of AQR’s portfolio management team, many of whom are leading academic finance experts from universities such as Harvard, MIT, Stanford, Northwestern, NYU and the University of Chicago.

Email submissions to insightaward@aqr.com.

To contact the <em>aiCIO</em> editor of this story: Paula Vasan at <a href='mailto:pvasan@assetinternational.com'>pvasan@assetinternational.com</a>; 646-308-2742

New data from the Census Bureau has revealed that assets for the 100 largest public employee pensions systems in the United States rose more than 1% to $2.8 trillion during the second quarter.

(September 30, 2011) — The US Census Bureau has reported that public pension plan assets have hit a three-year high.

The data showed that the assets for the nation’s 100 largest public employee pensions systems rose more than 1% to $2.8 trillion during the second quarter of 2011, 1.3% higher than three months earlier and 17.6% higher than a year earlier.

All major categories tracked by the Census Bureau — stocks, bonds, US and international securities — experienced overall gains over the same quarter in 2010, adding $414 billion to the systems’ holdings, the report asserted.

According to the report, stocks, which comprise 32% of all holdings, increased 19.5% from June 30, 2010, adding $145.3 billion. Corporate bonds, which represent 15.8% of holdings, increased 2% for the quarter and 5.6% year-to-year, reaching $438.5 billion and representing an asset increase of $8.5 billion for the quarter and $23.1 billion for the year. International securities, at 18.9% of holdings, had a year-to-year increase of 28.7%. Federal government securities, at 6.3% of all holdings, gained 1.5%, or $2.6 billion, over the quarter, but just 0.1% over the year.

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Despite this good news as public pension funds slowly climb their way back to pre-crisis levels, recent market volatility has erased billions of dollars in gains for many funds. For example, Joseph Dear, the chief investment officer of the California Public Employees’ Retirement System (CalPERS), told CNBC last month that the fund lost about $18 billion off the value of its stock portfolio from July 1 until August 9. The large decline came just weeks after both CalPERS and the California Teachers’ Retirement System (CalSTRS) posted annual investment gains of more than 20% in the fiscal year that ended June 3. While CalPERS’ assets grew by $37 billion to $237.5 billion, CalSTRS added $29 billion to reach $154.3 billion.

Recent market turmoil has also plagued international pension funds. The Netherlands’ ABP, one of the world’s biggest schemes, told the Wall Street Journal that the market slump is having a substantial impact on its funding ratio, which fell below 100% in the beginning of August from 106% at the end of July.

Meanwhile, a study by Mercer conduced last month revealed that market volatility in the first six trading days of August dealt a severe blow to pension plans sponsored by S&P 1500 companies, with the aggregate funded status decreasing by $191 billion to a funding deficit of $496 billion and an aggregate funded ratio of 73% as of the market close on August 8.

To contact the <em>aiCIO</em> editor of this story: Paula Vasan at <a href='mailto:pvasan@assetinternational.com'>pvasan@assetinternational.com</a>; 646-308-2742