Factor Investing: The Reference Portfolio and Canada Pension Plan Investment Board
Program for Financial Studies
As Canada Pension Plan Investment Board (CPPIB) CEO David Denison and SVP and Chief Investment Strategist Don Raymond embarked upon a review of CPPIB’s investment strategy, they reflected on the changes that had been made in recent years. The Reference Portfolio played an integral role in allowing CPPIB to look through the labels of asset classes and to holistically consider each asset in terms of its underlying factors. In this case, which draws upon interviews with both Denison and Raymond, students will learn about the history of CPPIB, the genesis of the Reference Portfolio, and how the Reference Portfolio operates to guide CPPIB’s high performing investment strategy.
Case id: 120302
Supplemental Materials: Teaching Note , PE Regression Data , Factor Regression Data