ICPM has introduced a new webinar series to feature compelling new research and global best practices in pension management and to foster lively discussion among pension industry leaders on important topics.
Tuesday, May 23, 2017 at 10.00am EDT/4.00pm CEST
Cyclicality in Risk and Return
Hens Steehouwer, Head of Research, Ortec Finance
If there is one thing we know about economies and financial markets then it is that they move up and down. A better understanding of how economies and financial markets move up and down contributes to better investment decisions and more likely achievement of objectives. In one view of the world, these fluctuations are driven by cyclicality. Equipped with a new long term dataset and a frequency domain tool kit, in this presentation we investigate two types of cycles: (1) the well-known business cycle and (2) the less well-known but important financial cycle, the latter building on the seminal ideas of Hyman Minsky. We provide cycle estimates and test their sensitivity, we derive some stylized facts and finally we ask ourselves the important question of how these cycles relate to the risk and return on different asset classes.
Who should view?
Anyone dealing with the uncertainty of economies and financial markets in decision making or for research purposes.