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Should FIFAA Be Red-Carded?
Absolute Return Letter, November 2015

“When I want your opinion, I will give it to you.”
Samuel Goldwyn

No, I haven’t gone bonkers – the focus of the Absolute Return Letter has not all of a sudden switched to football. Nor have I lost the ability to spell correctly, although I am sure that there are one or two like-minded readers out there who would also like to see the rear side of Sepp Blatter one final time.
FIFAA is an acronym that stands for Flexible Indeterminate Factor-based Asset Allocation and is the brainchild of Harvard Management Company’s President and CEO, Stephen Blyth. Harvard Management Co. (HMC) manages Harvard University’s endowment and related financial assets, a total of almost $40 billion, and has underperformed their chief ‘rivals’ at Yale University pretty much every year since the financial crisis changed everything in 2008. This is obviously not particularly satisfying, and HMC has now taken action, but is it appropriate action?
The following is not about Harvard per se but about what I believe to be an appropriate approach to investing in what is rapidly turning into a very different – and very difficult – investment environment. I remain convinced that if you want to succeed as an investment manager post 2008 you must approach portfolio construction very differently.

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Editor’s note: This was originally published by Absolute Return Partners in late August. So we are a little late in releasing it. Apologies. It is still good reading.
The Absolute Return Letter, August/September 2015: Doodles from an eventful summer

“There is something deeply troubling when the unthinkable threatens to become routine.”
Bank for International Settlements

Incidents of the summer 2015
This month’s Absolute Return Letter is a little different. I usually pick a particular subject and discuss it in great detail. However because of the host of issues which popped up over the summer while I took some time off from writing, I will comment on more than I normally do. I apologise in advance if you find my commentary somewhat superficial as a result.
Not only is the style a little different this month. It is also published earlier than usual. There is only one reason for that and that is the recent turmoil in global equity markets which I will certainly comment on.
Rarely have I experienced a summer so full of dramatic incidents. As I go through them one by one in the following, you will see what I mean. Most of the drama unfolded in June and July, but equity markets didn’t seem to notice until mid-August, and then behaved very erratically.
One of my favourite reads is The Credit Strategist by Michael Lewitt.

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The Absolute Return Letter, July 2015

“In a world that is changing really quickly, the only strategy that is guaranteed to fail is not taking risks.”
Mark Zuckerberg

Greece on the brink
A Greek, an Irishman and a Portuguese walk into a bar and order a drink. Who picks up the tab? A German . . .
Months (years!) of upheaval in Greece have taught me one important lesson. Don’t take anything for granted in politics. The referendum scheduled for Sunday 5 July looks at first glance like it could form the climax of the Greek crisis – but with background rumblings that the referendum is unconstitutional, you never know what will happen next.
For simplicity’s sake, let’s assume that the referendum goes ahead, and let’s assume that all sides behave like gentlemen and abide by the Greek people’s verdict (not exactly a trivial assumption). What is then most likely to happen?
First, the referendum itself.

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You are here: Markets » Are bond investors crying wolf?

The Absolute Return Letter, June 2015
By Niels Jensen

To me, consensus seems to be the process of abandoning all beliefs, principles, values and policies. So it is something in which no one believes and to which no one objects.”
Margaret Thatcher

Investment heavyweights challenge the consensus
On a regular basis I challenge the consensus. It is part of my nature, I suppose, but it comes at a price. Let me explain. We were recently contacted by a conference organiser, who would like me to participate in a panel discussion later this year at an institutional investor conference here in London. The subject? Investment heavyweights challenge the consensus.
I was foolish enough to accept the invitation before doing my homework as to who the other panellists would be. When I realised who they are, my heart sank. They are true heavyweights! You can do no more than wish me good luck, but look here if you fancy a bit of light entertainment on 7 October.
Trade du jour
Now to more sombre matters. Bond investors lost serious amounts of money in the bond market rout between mid-April and mid-May. One estimate puts total losses at approx. $0.5 trillion[1] – not exactly pocket money for most of us.
I am not sure anything fundamental has drastically changed, though.