Investment Management

Quantifying Liquidity Premium of Money Market Funds in the Low Yield Environment, Part II

Quantifying Liquidity Premium of Money Market Funds in the Low Yield Environment, Part II

2 min readAbstract This paper attempts to quantify the impact of a liquidity premium in money market funds by modeling three hypothetical portfolios of 29, 60, and 121-day weighted average maturities (WAM). Through our modeling process, we found the WAM extensions would have resulted in 0.11% and 0.31%, respectively, of additional annual yield potential over the 29-day…

Prudent Risk Diversification: Challenges to and Solutions for Short-Duration Investors

Prudent Risk Diversification: Challenges to and Solutions for Short-Duration Investors

2 min readAbstract A common misconception of risk diversification may be that additional credits automatically result in a safer portfolio. Today however, one of the primary challenges in developing a successful diversification strategy for short duration investors is a smaller pool of eligible investments. A mad dash into European financial debt, certain sovereign debt, municipal debt, and…

The Rule of Cash Investing: Diversification

2 min readIf the mantra in real estate investing is location, location, location, then the rule of cash investing is diversification, diversification, diversification. The importance of this discipline can be seen in lessons found in the Auction Rate Securities market, certain banking sectors and in selected geographic credit exposures where either liquidity or credit issues can become…

Potential Impacts of the New Money Fund Rules

Potential Impacts of the New Money Fund Rules

3 min readLast week’s unveiling of the long-awaited new rules governing money market funds prompted a flood of commentary from the fund industry and reports from the financial press in a matter of just a few days. This month, we wish to focus specifically on how we believe the changes will have profound ramifications on all short-duration…

Predictions for 2010

2 min readWelcome to the New Year edition of The Capital Advisor. Another year is now behind us (one that many are happy to put in the past) and a new decade lies before us. I’m particularly eager to see what the future may bring as those of us focused on the day-to-day management of corporate cash…

Pulling Back from the Abyss

Pulling Back from the Abyss

3 min readOver the past two years, as we anticipated the credit cycle downturn, we gradually and methodically worked to reduce credit exposure in our managed portfolios. In light of the dramatic capital markets disruptions and the extreme market illiquidity after the bankruptcy of Lehman Brothers, we temporarily ceased purchases of all non-government guaranteed debt. Additionally, we…

Reengaging Return

2 min readAs 2009 draws to a close, many of us in the corporate treasury world will likely feel this is an easy year to leave in our rear view mirror. With the lingering effects of the credit crisis and ensuing recession paralyzing many treasurers, flight to quality trades swamped the market and drove 30-day Treasury yields…

Shaping Investment Policies for a Safer Cash Portfolio

Shaping Investment Policies for a Safer Cash Portfolio

2 min readExecutive Summary We set out to answer 10 of the most common questions related to investment policy statement writing for cash portfolios. In doing so, we will provide a number of peer group data comparisons to further add helpful insight in the process. The questions address the following investment subjects: Maximum liquidity limits Minimum credit…