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 Total Portfolio Management |
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The Total Portfolio Management (“TPM”) department is building the capabilities to enable a consistent framework for managing a broad range of risks across the entire fund. These capabilities will further enhance the top-down component of our Total Portfolio Approach - specifically the efficient allocation of systematic risks (including better beta, liquidity, and credit risk) as well as active risk generated by the investment departments. Additionally, the department leads the design of the CPP Reference Portfolio, risk budgeting for the total active portfolio and evaluates the risk-return properties of investment strategies and emerging opportunities in the context of the total portfolio. TPM consists of four groups: Portfolio Management, Investment Research, Quantitative Research, and Economic & Research Services.
Portfolio Management
The Portfolio Management (“PM”) group will advise and manage on behalf of the IPC, the systematic risk and allocation of active risk across the total portfolio. The active risk position constantly evolves as assets are acquired/divested, strategies are refined, and economic conditions and markets change. Using a suite of quantitative tools and qualitative perspectives, the PM group optimizes the active risk position in the face of these changes. The PM group also ensures that aggregate portfolio risk exposures are consistent with the fund’s return expectations and risk preferences. By helping build and implement a fund-wide risk/return framework, the PM Group aligns key decisions with superior fund performance.
Investment Research
The Investment Research (‘IR’) group is responsible for conducting asset class related investment research. The group comprises two teams: private investments and public market investments. The private investments team analyzes and models the return dynamics of existing and new active investment programs in the private markets. They conduct bottom-up analysis of potential acquisitions, top-down analysis of new and existing portfolios, and proactive research on active programs. The public markets team is responsible for modeling the return dynamics of existing and new active programs across public markets, and the coordination of the development and implementation of the Asset Return Model ("ARM") within IR.
Quantitative Research
The Quantitative Research (“QR”) group develops and maintains the framework and tools needed to support Total Portfolio Management. This framework provides consistency across objectives, benchmarks, risk measures and incentives. The Reference Portfolio is an important part of this framework, providing a viable alternative strategy against which management performance is assessed. QR builds tools consistent with the framework, including those needed for total portfolio management. QR maintains the policies and standards supporting the framework. QR has three teams: a research function, a team supporting the implementation of models and tools, and a data engineering team.
Economic and Research Services
This group consists of two distinct teams. The Economic and Market Forecast (“EMF”) team prepares medium and long-term economic and financial market forecasts for regions of the world in which the CPPIB has an investment interest. To this end, EMF has built, and continues to refine, proprietary models of key economies including exchange rates, and fixed-income and equity market returns and is in the process of constructing models for real estate. EMF has also constructed a stochastic model of CPP liabilities. The projections and research activities undertaken within EMF are used as input into determining the Reference Portfolio, and support TPM and investment department decision-making. Research Services (“RS”) provides research and resources to staff across all departments upon request. This includes customized research on market sectors, countries, companies, and other topics of relevance to investment and pensions.
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