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Bob Anderson: Determinants of Levered Portfolio Performance, Pension Investment Association of Canada (PIAC)

September 30, 2015 @ 8:00 am - October 2, 2015 @ 5:00 pm

Many Canadian pension funds use leverage to reduce the risk inherent in the asset-liability imbalance, to employ risk parity strategies, or to enhance asset returns, often tactically changing the amount of applied leverage. A recent article co-written by Robert Anderson documents the sources of levered portfolio performance including the impact of trading costs and covariance with excess return on the underlying assets.


September 30, 2015 @ 8:00 am
October 2, 2015 @ 5:00 pm
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