Philip Rose

Articles from Philip Rose

  • CIO REPORT: MANAGING COMPLEXITY

    Summary: Implementing our investment principles means that it would be useful to measure the complexity of different assets and asset allocations via a complexity ranking. As complexity increases the average expected return tends to increase but the average fund manager fee also increases. Increasing complexity can be a way of increasing returns without increasing risk. Low complexity portfolios may not be the best solution for clients needing high returns. Background Two of our investment principles are: “Investment strategy should be as simple a ... ..read more
  • A BRIEF HISTORY OF LDI - 11 YEARS IN 5 CHARTS [CIO REPORT]

    Summary: Friends Provident was one of the first pension schemes to undertake a large scale LDI hedge years ago. Over the last 11 years real yields have fallen by 276 basis points, an average of 25 basis points every year. 30 year nominal gilt rates have fallen while 30 year inflation break-evens have risen. Equities and index-linked gilts have provided similar excess returns. 30 year USD swaps and EUR swaps have also fallen substantially over the last 11 years. Friends Provident was one of the first UK pension schemes to undertake a large scale LDI he ... ..read more
  • CIO REPORT: FALLING RATES ACROSS THE WORLD

    Summary: GBP real swap rates are around minus one percent. Most of this fall has been due to falling nominal rates rather than falling inflation expectations with similar moves in USD and Euros. While the Federal Reserve has ended QE the Bank of Japan has increased QE and the ECB may be about to start. Concerns about inflation in the UK undershooting the Bank of England’s 2% target. GBP Swap Real Rates Fall to Record Lows Real GBP swap rates have fallen substantially year to date with even the long end part of the curve now close to minus one percen ... ..read more
  • HOW TO PROTECT RETURNS IN BOTH INFLATIONARY AND DEFLATIONARY ENVIRONMENTS [CIO REPORT]

    Summary In the same week that the Federal Reserve ended Quantitative Easing (QE) the Bank of Japan increased QE The Japanese Government Pension Investment Fund moves away from bonds and towards equities The pension fund has a clear objective for the change in asset allocation The new asset allocation is relying on equity risk premia and FX carry to generate returns This may work in the inflationary environment that the fund expects but may not if deflation continues Using leverage would enable a more balanced allocation between performance in inflati ... ..read more

Philip is responsible for co-managing the firm’s quantitative analysts and driving innovative client solutions.
 
He was previously an Executive Director in Morgan Stanley's FIG Structuring Group where he was responsible for structuring fixed income and equity derivative strategic solutions for pension funds and insurance companies. Formerly a Director and Chief Structurer at Merrill Lynch, Philip started his career at NatWest Capital Markets in 1994.