Download or read book Essays on Asset Management and Asset Liability Management written by Lidia Bolla and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The dissertation comprises three articles from the fields of asset liability management and asset management. In the first article, we create a liability benchmark for referencing the asset allocation performance of pension funds and introduce the Asset-Liability-Result (ALR) - the relative performance of the strategic asset allocation (SAA) with respect to the performance of the market value of the liabilities. We apply our approach to the Swiss market and are able to show that the pension funds' recovery from the recent financial crisis took much longer than the value increase of the asset portfolios suggests. The ALR does not intend to benchmark the performance of asset managers, but rather to provide an instrument for analyzing the performance of entire pension fund markets and to present an operational asset liability management tool for individual pension funds. In the second article, we investigate whether fundamental indexing - an alternative to the predominant market value weighting methodology - is able to generate an outperformance in fixed income markets when accounting for differences in the risk factor exposure. The findings of the study suggest that fundamental indexing is able to generate higher returns in the long term. However, our results show statistically significant and economically relevant exposures of the fundamentally weighted indices towards the previously studied risk factors term and default and, in particular, towards the newly introduced risk factors duration, convexity, liquidity and carry trade risk. The elevated risk exposure is able to fully explain the outperformance. The third article analyzes risk commonalities within equity markets around the globe and tests the hypothesis that index linked investing is a major driver for increasing co-movements within equity markets. We find substantial evidence that the growth in index linked investing is related to increased co-movements in trading pattern.