Institutional Investor Preferences and Performance in Different Interest Rate Environments

Pension funds and insurance companies generally have prior commitments with fixed terms. As a result, these institutional investors might need to alter their investment strategies drastically with low interest rates, which will in turn affect the performances of their portfolios. In this research project, we plan to study the effect of interest rates on the strategies and performances of pension funds and insurance companies. We will achieve this using state-of-the-art econometric methodologies such as regression models with time varying coefficients and TOBIT models. This project will allow us to understand how, why and when these institutional investors change their investment strategies as a function of changing interest rates and the effect of these changes on their portfolios. We expect this research project will allow us to devise better investment strategies for different interest rate environments, which is definitely of interest to our partner organization.

Faculty Supervisor:

Tolga Cenesizoglu

Student:

Farid Radmehr

Partner:

HR Strategies

Discipline:

Finance

Sector:

University:

Program:

Accelerate