Browsing: Asset Allocation Models

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Asset Allocation Models

Election direction, market correction, asset selection…it’s all an investment question

Dec 11th, 2014 | Filed under: Asset allocation

In the U.S., the midterm elections will largely dictate the course of the remaining years of the current presidential term. This course also plays a major role in the future direction and relative strength of the US markets, which subsequently impact advisors’ decision-making for client portfolios. The interplay between these three areas justifies a closer look at how their relationship correlates to the process of investment management. Read More

The Best Offense is a Good Defense: Profiting from Hedging

Dec 3rd, 2014 | Filed under: CAPM / Alpha Theory, Performance, Analytics & Metrics, Risk management, Asset allocation

A regime switching model may treat a high-volatility environment as one “regime,” and a low-vol environment as its successor regime. The idea, as it applies to risk management, then, is simply to be ready in either setting for the switch to the other. This is both playing defense and playing offense. It is both managing risk and pursuing alpha. Read More

Investment Advisors, Investors and Beauty Contests

Nov 6th, 2014 | Filed under: Retail Investing, Alpha Hunters, Asset allocation, High-net-worth investors

n a new book, Charlotte Beyer tells investors that having the right advisor isn't suckerdom. It can in fact be insurance against suckerdom. So: how does an investor find the right advisor? Read More

Looking at the Next Generation of Institutional Investing

Sep 25th, 2014 | Filed under: Hedge Fund Industry Trends, Institutional Investing, Asset allocation

Guest columnist Andrew Beer looks at the changes in institutional investing.Read More

Burr XII, Extreme Value, and a Fantasy

Sep 15th, 2014 | Filed under: Risk management, Asset allocation

The eight authors of a new study seek to add to “the existing literature of Bayesian VaR methods by … considering the … general class of Burr XII extreme value distributions “ and by estimating error bounds. After having a little fun we try to puzzle out what that means. Read More

Why are Hedge Fund Assets Reaching All-time Highs?

May 12th, 2014 | Filed under: Performance, Analytics & Metrics, Media Coverage of Hedge Funds, Institutional Investing, Alpha Hunters, Asset allocation

Guest columnist Don Steinbrugge looks at why allocators continue to invest in hedge funds, even when the media thinks they shouldn't.Read More

East Asian Chickens Come Home to Roost

Jul 17th, 2013 | Filed under: Liability Driven Investing, Institutional Investing

In east Asia, savings rates have long been high and constant, and cannot plausibly be expected to get much higher. Indeed, they may in certain respects be too high. Thus, progress in addressing the pension/demographic crunch has to come on the asset management side. Read More

Natixis on Investing by ‘Road Maps:’ Institutional Cartographic Confidence

Jun 16th, 2013 | Filed under: Institutional Investing, Alpha Strategies, Asset allocation, Alpha Seekers

Eighty-nine percent of the respondents in a newly released Natixis survey of institutions said they expect they will be able to meet their future obligations. But they aren't as optimistic about the fate of individuals in their own countries who are now trying to save for retirement. Read More

Australian News: Part II

Apr 25th, 2013 | Filed under: Alpha Strategies, Asset allocation

Earlier scholarship, largely devoted to the U.S. equities context, has indicated that well-known predictors don't predict well in out-of-sample contexts. But by combining fifteen factors, and by moving the scene of their study to Australian, four scholars have obtained a more upbeat result.Read More

Improving the Health of Healthcare Endowments

Feb 24th, 2013 | Filed under: Institutional Investing, Alpha Strategies, Asset allocation

The obvious reason for the allocation preferences of healthcare endowments is that they believe they need to remain very liquid. Jarvis, in this white paper, points out that the liquidity preference comes at a cost in performance. Read More

On Not Using the Phrase ‘New Normal’ Here

Sep 26th, 2012 | Filed under: Real Estate, Private Equity, Institutional Investing, Venture capital, Asset allocation

Acceptance of the higher levels of volatility as a fact of life means that careful ongoing attention to risk has become the means of operations. In the United States specifically, 31 percent of institutions say that they monitor their risk budget daily to keep the overall amount of risk in the portfolio under check: more than half (53 percent) say that they do such monitoring on a weekly or monthly basis.Read More

A Family is Not a Portfolio: A Discussion with Charles Grace

Sep 13th, 2012 | Filed under: Alpha Strategies, Asset allocation

In the years before the world financial crisis, an endowment oriented model was gaining some ground [in the family-office world] following on the example of Yale University and its long-time CIO, David Swenson. But, frankly, there has been some questioning of that as of late.Read More

Healthcare Nonprofit Investments: The Case for Boredom

Sep 11th, 2012 | Filed under: Institutional Investing, Asset allocation

It is good that the stuffy old healthcare organizational folks stuck with fixed income investments!, because those investments did better than any other asset class as a component of their FY2011 returns. Fixed income returned 5.4 percent. The more exciting field of international equities was the big loser, with a -10.9 percent return.Read More

McKinsey: Allocations Will Rise Despite Sticky Fees

Jul 31st, 2012 | Filed under: Real Estate, Private Equity, Alpha Strategies, Asset allocation

The reason for the increased interest in alternatives, McKinsey says, isn’t that the alternatives’ managers are slashing the price of their services. It is, rather, a discontent with the return to be gained from traditional investment. “Even with downward pressure likely over the next few years, revenue yields for institutional alternative products should remain well above the 35 bps average earned on today’s traditional institutional products.” Read More

Benefits of Asset-Class Diversification Are Disappearing

Jul 4th, 2012 | Filed under: Alpha Strategies, Asset allocation

By the end of May the spread between German and Spanish bond yields was extraordinary. Spanish 10-year bonds were yielding 6.5 percent, German bonds only 1.347 percent. What Spain would have to do was becoming obvious to everyone by then, though it took Spain until well into June to do it, finally requesting and obtaining as Mathema puts it “a financial lifeline of up to €100 billion to shore up its troubled banking system” from the EU.Read More

Preqin to Hedge Funds: Wooing Institutions May Require Patience

Jun 27th, 2012 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Alpha Strategies, Asset allocation

Institutions aren’t to be rushed into committing to a hedge fund. The process can take more than a year. Preqin asked institutions: once a fund has caught their attention, specifically once they have first seen a fund proposal, how much time typically passes before they actually make an investment, if they do?Read More

Dressing your pension fund: One leg at a time

Sep 5th, 2011 | Filed under: Liability Driven Investing, Institutional Investing

Just like the rest of us, those who run pension funds put their pants on in the morning one leg at a time. And just like the rest of us, after balking at alternatives post-2008, a growing number are gaining more confidence in them as a way to fulfill their mandates.Read More

UK Report: Early retirement dreams washing away for millions

Mar 14th, 2011 | Filed under: Hedge Fund Industry Trends, Liability Driven Investing

Freedom 66 for pensioners could easily mean Freedom 45 or even Freedom 35 for hedge fund managers, thanks to their recent contributions towards helping to partially offset liability issues, according to a report by TheCityUK.Read More

Pension funds look for opportunities to score points while they wait (and hope) for liabilities to choke

Nov 14th, 2010 | Filed under: Liability Driven Investing, Commodities

A survey of pension funds and endowments by Deutsche Bank indicates that investors see themselves as having two options to dig themselves out of their current hole: aim for higher returns by dumping equities overboard, or waiting around for interest rates to take care of their liabilities.Read More

Pension Funds: Okay, forget 8%. Just get us out of this hole!

Sep 23rd, 2010 | Filed under: Liability Driven Investing, Institutional Investing

For pensions it's quickly gone from 8%-plus assumed returns to fighting just to keep the assets and liabilities in sync. Read More

Report says that after 2008, “the case for LDI has moved from the head to the heart”

Jan 15th, 2009 | Filed under: Liability Driven Investing

Russell Investments says LDI has been moving slowly from academic journals to the mainstream. But 2009 will the the year when attitudes really change. Read More

Poll reveals explosive growth in LDI

Sep 1st, 2008 | Filed under: Liability Driven Investing

SEI released a poll of pension plans last week that reveals what is probably the biggest story in institutional investing last year - and it's not hedge funds (per se).Read More

LDI: The Quest for “Del Boca Vista”

Jul 7th, 2008 | Filed under: Liability Driven Investing

The release of a new survey on liability-driven investing prompted us to ask ourselves what the strategy was really all about. Read More

Manager suggests possible conflict of interest in Liability-Driven Investing

Sep 4th, 2007 | Filed under: Liability Driven Investing

There seems to be a growing debate about the best way for pensions to match their assets and liabilities. And at least one manager is even suggesting there may be a conflict of interest brewing.Read More

LDI Sausage

Jul 30th, 2007 | Filed under: Liability Driven Investing

While many people love a good sausage with their eggs, no one wants to see how they're made. Apparently, ING has now applied the same logic to liablity driven investing (LDI).Read More

Swaps: “The hand in the absolute return glove”

May 3rd, 2007 | Filed under: Liability Driven Investing

Liability-driven investing traditionally involves measuring pension fund returns against a benchmark made up of the plan's own liabilities. But what if you could swap those liabilities for fixed ones?Read More

LDI: Portable Alpha’s First Cousin

Mar 27th, 2007 | Filed under: Liability Driven Investing

On the family tree of modern investment management “LDI” and “Portable Alpha” are first cousins. Unfortunately, familial affection doesn’t necessarily go both ways. But LDI is doing fine, thanks. Read More

Legal warning over too safe LDI

Nov 21st, 2006 | Filed under: Liability Driven Investing

By: Daniel Brooksbank, Published: November 20, 2006 Clients of Portable Alpha’s cousin Liability-Driven Investing (LDI), take note:  According to UK law firm Reynolds Porter Chamberlain, trustees who embrace LDI can leave themselves exposed to negligence claims for being too conservative. According to “Reynolds’ partner Simon Goldring said the strategyRead More