These papers are the result of in depth research conducted by members of the MLC Investment Management research team. They are focussed on specific investment issues which may be of interest to other investment professionals. Some have been submitted to peer-reviewed academic journals.
Rebalancing A Comparison of Methods - May 2009 (PDF, 461KB)
As market volatility increases so too does the importance of portfolio rebalancing. This study compares the performance of several of the more practical rebalancing methods under a range of return scenarios.
The Lottery Effect of Volatility - May 2009 (PDF, 464KB)
MLC does not believe volatility should be seen as the definitive measure of risk. Risk, to clients, is the likelihood they will not achieve their financial objectives. However, the dispersion of returns (volatility) does impact whether clients achieve their financial objectives. This paper examines the contribution the dispersion of returns has on outcomes.
Liquidity and Equitable Unit Pricing – March 2009 (PDF, 247KB)
Although MLC has not had to freeze redemptions of its funds during the recent credit crunch, a number of funds across the industry have, underscoring the importance of funds having adequate liquidity. This paper describes MLC's approach to the assessment of liquidity and equity of unit pricing.
Dealing with Excessive Concentration to Stocks in Small Markets - August 2008 (PDF, 167KB)
Countries with small equity markets will often experience times when one or more stocks dominate the local stock market index. Investors domiciled in such countries generally hold a disproportionate share of their wealth in local stocks and can suffer excessive single-company exposure.
Refining Risk Measures: Serial Correlation - August 2008 (PDF, 180KB)
In this paper, we investigate whether there is positive or negative serial correlation of returns over long time horizons for both equity and debt returns. Supporting this investigation is 100 years of data across several developed markets.
The Role of Capital Guaranteed Products in Financial Plans - May 2008 (PDF, 230KB)
In this paper we focus on the role that capital guaranteed products can play in the financial plans of individuals.