Browsing: Asset Allocation Models

Mean-Variance Approach
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Estimation Risk and Asset Allocation

Asset Allocation Models

The New Generation of Behavioral Finance

Nov 26th, 2020 | Filed under: Newly Added, Risk management, Asset allocation, Behavioral finance, Socially responsible investing, Asset Allocation Models, ESG, Economics, Risk Management Strategies & Processes, Hedge Funds, Macroeconomics, Finance & Economics

Meir Statman, a professor of finance at Santa Clara University and a consultant to Avantis Investors, has focused his scholarly efforts for decades on behavioral finance, and those efforts have given us a recent book on the subject, Behavioral Finance: The Second Generation. In Statman’s view the first generation ofRead More


Keynes vs. Markowitz ‘Thrilla in Portfolia’

Nov 19th, 2020 | Filed under: CAPM / Alpha Theory, Financial Economics Theory, Newly Added, Risk management, Asset allocation, CAIA Alternative Viewpoints, Asset Allocation Models, Risk Management Strategies & Processes, Hedge Funds, Finance & Economics

By Hossein Kazemi, PhD, CFA, CAIA Association, FDP Institute, and Isenberg School of Management Introduction While Keynes vs. Markowitz is not as thrilling as Ali vs. Frazier, it has important implications for investors when selecting funds and investment managers when constructing portfolios.  In this “fight,” we have in one cornerRead More


What Is the Future of Alternatives?

Nov 17th, 2020 | Filed under: Private Equity, Newly Added, Institutional Investing, Asset allocation, Asset Allocation Models, ESG, Institutional Asset Management, Hedge Funds, Private Investments, Other Topics in A.I.

By Grant Murgatroyd, senior writer EMEA at Preqin Preqin predicts that alternative assets under management will rise to $17.2 trillion in 2025. We believe the COVID-19 induced slowdown in 2020 will be temporary and lead to a larger, more efficient, and more sustainable industry. Assets under management (AUM) in alternativesRead More


Save (Us All) for Retirement

Nov 15th, 2020 | Filed under: Performance, Analytics & Metrics, Newly Added, Asset allocation, What about beta?, Asset Allocation Models, Allocating to A.I.

By Aaron Filbeck, CFA, CAIA, CIPM We have not been shy in our assessment of the current state of retirement. As we know, defined benefit plans face a tough road ahead as lofty actuarial assumptions have barely budged and regular distributions are hardly being backfilled with contributions. But what aboutRead More


Retirement’s Mid-Life Crisis

Sep 22nd, 2020 | Filed under: Private Equity, Newly Added, Institutional Investing, Asset allocation, Asset Allocation Models, Other Issues in Private Investments, Alternative Investments in Context, Institutional Asset Management, Hedge Funds, Private Investments, Allocating to A.I.

By Rob Croce, PhD – Managing Director and Portfolio Manager at Mellon & Aaron Filbeck, CAIA, CFA, CIPM – Associate Director of Content Development at CAIA Association In 2000, United States 10-year government bonds rates were 6% and the median U.S. public pension plan had an actuarial return assumption ofRead More


From impact intention to impact management: Are you ready for the change?

Sep 7th, 2020 | Filed under: Newly Added, Asset allocation, Asset Allocation Models, Other Issues in Private Investments, Alternative Investments in Context, ESG, Private Investments, Other Topics in A.I.

By Sara Olsen and David Pritchard of SVT Group and Yuwei Shi of Middlebury Institute of International Studies at Monterey *Please take a moment to complete the brief survey at the conclusion of this article. Every investment generates or destroys social and environmental value, aside from financial return. One ofRead More


Applying Occam’s Razor to Factor Analysis

Aug 12th, 2020 | Filed under: Newly Added, Asset allocation, Asset Allocation Models, Allocating to A.I.

By Alex Botte, CFA, CAIA, Vice President, Two Sigma The principle of Occam’s razor states that, in searching for explanations or solutions to problems, “entities should not be multiplied unnecessarily.” If one has various models that arrive at the same outcome, one should choose the one with the fewest assumptions. InRead More


Putting 2020 into Perspective: Diversification May Work Better than You Think

Aug 6th, 2020 | Filed under: CAPM / Alpha Theory, Financial Economics Theory, Newly Added, Risk management, Asset allocation, Asset Allocation Models, Alternative Investments in Context, Institutional Asset Management, Risk Management Strategies & Processes, Hedge Funds, Allocating to A.I.

By Rodney Sullivan, CFA, CAIA, Executive Director, University of Virginia Darden School of Business US recessions are typically accompanied by declines in stock market returns and, of course, 2020 has been no exception. We are once again reminded that investing is not easy leaving many investors to wonder how bestRead More


Will the DOL Decision on Private Equity Impact the Democratization of Alternative Investments?

Aug 4th, 2020 | Filed under: Retail Investing, Private Equity, Newly Added, Asset allocation, Equity Types of Private Equity, Asset Allocation Models, Liquid Alternative Investiments, Private Investments, Allocating to A.I.

By Rashad Kurbanov, CEO & Co-Founder at iownit capital and markets Alternative investments have been around for decades and have been a part of institutional investment portfolios for the majority of the time. Institutional investors have increasingly allocated their investment capital to these investments with an expectation that they willRead More


Hedge Funds and Private Equity—Building Bridges—Or Not

Jul 27th, 2020 | Filed under: Private Equity, Debt Types of Private Equity, Newly Added, Asset Managers, Institutional Investing, Venture capital, Asset allocation, Equity Types of Private Equity, Asset Allocation Models, The A.I. Industry, Institutional Asset Management, Hedge Funds, Private Investments

Alternative investment managers were evolving in the context of changing market conditions even before the Covid-19 pandemic, although the virus has speeded up the process. What is emerging is an alternatives landscape where pure-play hedge funds will be rare. That is one of the conclusions of a new study byRead More


An ‘Alternative’ Safe-Haven

Jul 26th, 2020 | Filed under: Performance, Analytics & Metrics, Newly Added, Risk management, Asset allocation, Asset Allocation Models, Risk Metrics and Measurement, Risk Management Strategies & Processes, Allocating to A.I.

By Karl Rogers, ACE Capital Investments Abstract: The sovereign bond market has traditionally been a widely used tool for portfolio construction given its dual characteristics of returning a real yield with a negative correlation to equity markets – providing both a real return expectancy and portfolio protection. Given the zero-lower-boundRead More


Impact Investing Won’t Save Capitalism, But Its Example Might

Jul 22nd, 2020 | Filed under: Private Equity, Social investing, Newly Added, Asset allocation, Socially responsible investing, Equity Types of Private Equity, Asset Allocation Models, Other Issues in Private Investments, ESG, Private Investments, SRI and Clean Energy, Other Topics in A.I.

By Michael O’Leary and Warren Valdmanis GIIN’s 10th Anniversary report highlights new records, but what’s the endgame? When the Global Impact Investing Network (GIIN) issued its first survey a decade ago, the term “impact investing” had only been coined three years earlier. Just 24 investors responded. In GIIN’s tenth anniversaryRead More


‘Expectations Will Increase’ on E(E)SG

Jun 30th, 2020 | Filed under: Newly Added, Asset allocation, Asset Allocation Models, ESG, Allocating to A.I., Other Topics in A.I.

 Adam O. Emmerich of the corporate and securities law firm Wachtell Lipton in a recent memo cautioned the firm’s corporate clients that the expectations on them with regard to transparency on environmental, social, and governance matters will increase in the months ahead. His emphasis is on the social part ofRead More


The Inflation-Deflation Debate and its Implication for Asset Allocation 

Jun 28th, 2020 | Filed under: Newly Added, Risk management, Asset allocation, Asset Allocation Models, Alternative Investments in Context, Risk Management Strategies & Processes, Allocating to A.I., Finance & Economics

By Alan Dunne, Managing Director, Abbey Capital One of the key questions facing investors at the moment is whether inflation or deflation represents the bigger risk for the coming years. Economists are split on this and one of the reasons for the uncertainty is that COVID-19 represents both a supplyRead More


A Target Date for Target Dates

Jun 8th, 2020 | Filed under: Consultants, Retail Investing, Private Equity, Newly Added, Alternative Mutual Funds, Asset allocation, Equity Types of Private Equity, What about beta?, Asset Allocation Models, Other Issues in Private Investments, Institutional Asset Management, Private Investments, Allocating to A.I.

By Aaron Filbeck, CAIA, CFA, CIPM | Associate Director, Content Development at CAIA Association While every retirement plan participant has unique life and planning circumstances, they generally (and almost evenly) split into two broad categories regarding investment philosophies: the do-it-yourself crowd and the do-it-for-me crowd. The do-it-yourself crowd typically followsRead More


Nowcasting Endowment Returns

May 21st, 2020 | Filed under: Newly Added, Institutional Investing, Asset allocation, CAIA Alternative Viewpoints, Asset Allocation Models, Endowments & Foundations, Institutional Asset Management

By Hossein Kazemi, PhD, CFA, Senior Advisor at CAIA Association, and Aaron Filbeck, CAIA, CFA, CIPM, Associate Director, Content Development at CAIA Association “There are at least two kinds of games. One could be called finite, the other infinite. A finite game is played for the purpose of winning, an infiniteRead More


Next Customer!

Apr 20th, 2020 | Filed under: Newly Added, Institutional Investing, Asset allocation, What about beta?, Asset Allocation Models, Alternative Investments in Context, Institutional Asset Management

By Bill Kelly, CAIA Association CEO Our story starts with a former Eagle Scout known as Barber. While his name had absolutely nothing to do with his ultimate professional calling, Barber Conable did, perhaps unwittingly, become the Sweeney Todd of the defined benefit plan. Barber Conable lived a noble lifeRead More


‘Access to private capital benefits should not require premier status’

Mar 19th, 2020 | Filed under: Newly Added, Asset allocation, CAIA Alternative Viewpoints, Asset Allocation Models, Institutional Asset Management

John Bowman, CFA, Senior Managing Director at CAIA Association “If the devil can quote Scripture, in his spare time he might be working on private capital return methodology.” So uttered Bill Elfers in 1995, founder of Greylock Capital and arguably modern venture capital itself. Eleven years later in 2006, HowardRead More


Diversification: The Only Free 3-Course Meal?

Mar 17th, 2020 | Filed under: Newly Added, Asset allocation, CAIA Alternative Viewpoints, Asset Allocation Models, Allocating to A.I.

By Aaron Filbeck, CAIA, CFA, CIPM | Associate Director, Content Development at CAIA Association Depending on the day this blogpost is published, equity markets could be up 10% or down 10%. I guess timing blogposts is just as hard as timing the market these days. We often refer to diversificationRead More


Diversification Strikes Back!

Mar 13th, 2020 | Filed under: Real Estate, Private Equity, Hedge Fund Strategies, Newly Added, Asset allocation, CAIA Alternative Viewpoints, Asset Allocation Models, Institutional Asset Management, Real Estate Equity Investments, Risk Management Strategies & Processes, Hedge Funds, Private Investments, Real Assets, Allocating to A.I.

By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association, and Keith Black, PhD, CFA, CAIA, FDP, Managing Director, Content Strategy at CAIA Association “Diversification is back” – now that’s not a phrase we’ve heard in a long time…long time. Considering recent market performance, we thought thatRead More


Are the Robots Really Taking Over?

Mar 5th, 2020 | Filed under: Newly Added, Fintech, Technology, Artificial Intelligence, CAIA Alternative Viewpoints, Asset Allocation Models, Machine Learning, Hedge Funds, Allocating to A.I., Other Topics in A.I.

By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Excerpted from the Alternative Investment Analyst Review, Volume 8, Issue 3 The Alternative Investment Analyst Review is the official publication of the CAIA Association.  Access to the most current issue is an exclusive benefit of CAIA Membership whileRead More


Real Assets ‘Inception:’ Diversification within Diversification

Feb 27th, 2020 | Filed under: Consultants, Real Estate, Liquid and Fixed Income Real Estate, Newly Added, Institutional Investing, Risk management, Asset allocation, Natural Resources and Land, CAIA Alternative Viewpoints, Asset Allocation Models, Operationally Intensive Real Assets, Endowments & Foundations, Institutional Asset Management, Real Estate Equity Investments, Risk Management Strategies & Processes, Real Assets

By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Excerpted from the Alternative Investment Analyst Review, Volume 8, Issue 1 The Alternative Investment Analyst Review is the official publication of the CAIA Association. Access to the most current issue is an exclusive benefit of CAIA MembershipRead More


Making Your Portfolio About #Goals

Feb 13th, 2020 | Filed under: Performance, Analytics & Metrics, Retail Investing, Newly Added, Institutional Investing, Asset allocation, Benchmarking & Performance Attribution, CAIA Alternative Viewpoints, High-net-worth investors, Asset Allocation Models, Endowments & Foundations, The A.I. Industry, Institutional Asset Management, Real Estate Equity Investments, Family Offices, Hedge Funds, Commodities, Private Investments

By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Central Issue of the Paper If you’re a social media junkie, you have probably seen “#goals” in your timeline. In most cases, the hashtag is referring to an attractive couple or an aesthetically pleasing plate of food.Read More


Hope May Not Be a Strategy…But Neither is a 60/40

Jan 21st, 2020 | Filed under: Consultants, Retail Investing, Alpha & Beta, Newly Added, Institutional Investing, Risk management, Asset allocation, What about beta?, Asset Allocation Models, Alternative Investments in Context, Institutional Asset Management, Risk Management Strategies & Processes, Allocating to A.I.

By Guest Contributor Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development The death of the 60/40 may be a welcome change for multi-asset investors who understand that exposure to risk premia is perhaps a far better long-term investment strategy. Diversification remains an important facet of asset allocation, but weRead More


An Alternative View of Manager Selection Risk

Jan 16th, 2020 | Filed under: Performance, Analytics & Metrics, Newly Added, Institutional Investing, Risk management, Asset allocation, Benchmarking & Performance Attribution, Asset Allocation Models, Other Issues in Private Investments, Risk Metrics and Measurement, The A.I. Industry, Institutional Asset Management, Risk Management Strategies & Processes, Hedge Funds, Private Investments, Risk Management & Operations, Allocating to A.I.

By Aaron Filbeck, CFA, CAIA, CIPM & Hossein Kazemi, PhD, CFA, CAIA Association & CISDM This is a summary of the editor’s letter originally published in the Volume 8, Issue 4 of the Alternative Investment Analyst Review, a journal published by CAIA Association. The Problem with Studies Many studies onRead More


Democratization Without Education

Nov 18th, 2019 | Filed under: Consultants, Retail Investing, Private Equity, Newly Added, Institutional Investing, Asset allocation, What about beta?, High-net-worth investors, Asset Allocation Models, Other Issues in Private Investments, Alternative Investments in Context, Endowments & Foundations, Institutional Asset Management, Family Offices, Private Investments, Allocating to A.I.

By Bill Kelly, CAIA Association CEO The American history buffs out there will know that we are just a few short weeks away from the 246th anniversary of the Boston Tea Party. Back in 1773, the British government was deep in debt and decided the very best course was toRead More


A Harvard Education

Oct 28th, 2019 | Filed under: Newly Added, Academic Foundations, Institutional Investing, Asset allocation, What about beta?, Asset Allocation Models, Other Issues in Private Investments, Endowments & Foundations, Institutional Asset Management, Private Investments, Personalities in AI, Allocating to A.I.

By Bill Kelly, CEO, CAIA Association While Harvard the institution is legendary, much less is known about its founding other than by some who have taken those tedious Cambridge tours or the gifted alum who studied their way in through one of those 25 famous gates. Harvard College was foundedRead More


SOS

Jul 1st, 2019 | Filed under: Retail Investing, Newly Added, Institutional Investing, Asset allocation, What about beta?, Asset Allocation Models, Alternative Investments in Context, Institutional Asset Management, Allocating to A.I., Other Topics in A.I.

By Bill Kelly, CEO, CAIA Association Ask someone of a certain generation to name the most common worldwide distress signal, and they will likely come back with SOS. No surprise then that this same signal, borne from the Morse code, turns 111 years old on this date in history. MostRead More


The Illiquidity Premium and the Market for Private Assets

Apr 14th, 2019 | Filed under: Real Estate, Private Equity, Debt Types of Private Equity, Liquid and Fixed Income Real Estate, Newly Added, Asset allocation, Equity Types of Private Equity, Asset Allocation Models, Other Issues in Private Investments, Operationally Intensive Real Assets, The A.I. Industry, Real Estate Equity Investments, Private Investments, Real Assets, Finance & Economics

The illiquidity premium is one of the most frequently discussed and hotly disputed subjects in financial economics. Speaking broadly, an investment is not a checking account. One generally cannot just “get the cash back” at a moment’s notice, by visiting some equivalent of an ATM. How long will it takeRead More


Pension Funds Not Quite Swamped by ‘Grey Tsunami’

Mar 5th, 2019 | Filed under: Real Estate, Private Equity, Hedge Fund Strategies, Infrastructure, Equity Hedge Funds, Debt Types of Private Equity, Newly Added, Institutional Investing, Asset allocation, Event-Driven Hedge Funds, Equity Types of Private Equity, Natural Resources and Land, Asset Allocation Models, Operationally Intensive Real Assets, The A.I. Industry, Institutional Asset Management, Macro and Managed Futures Funds, Real Estate Equity Investments, Hedge Funds, Commodities, Private Investments, Real Assets, Allocating to A.I.

A recent study of public employee retirement systems in the United States reaches conclusions, that, after a fair amount of “grey tsunami” alarmism in recent years, sound reassuring. The study, based on a recent survey of system managements conducted by the National Conference of Public Employee Retirement Systems (NCPERS) inRead More


Waiting for Godot

Feb 25th, 2019 | Filed under: Consultants, Newly Added, Institutional Investing, Asset allocation, What about beta?, Asset Allocation Models, Institutional Asset Management, Allocating to A.I.

By Bill Kelly, CEO, CAIA Association Waiting for Godot is a tragic comedy play by Samuel Beckett which first premiered on stage in Paris in 1953. There is only one scene and two primary characters who seem to know that they must wait for someone named Godot. They don’t knowRead More


The Survey Says… 

Feb 11th, 2019 | Filed under: Consultants, Hedge Fund Strategies, Newly Added, Institutional Investing, What about beta?, Asset Allocation Models, Alternative Investments in Context, Institutional Asset Management, Hedge Funds, Private Investments, Allocating to A.I.

By Bill Kelly, CEO, CAIA Association Earlier this year, we surveyed the CAIA Association Membership to ascertain their views on investment-related topics as we step into 2019. We had well over 1,000 responses which, according to the statisticians, puts us in the 95% confidence interval, plus or minus 3%. The respondents’ geographic breakdown tracked the home region of our broader Member base, andRead More


Panayiotis Lambropoulos: The View from a Public Pension Manager’s Office

Nov 11th, 2018 | Filed under: Hedge Fund Operations and Risk Management, Due Diligence Process, Newly Added, Institutional Investing, Alpha Hunters, Risk management, Asset allocation, Asset Allocation Models, Alternative Investments in Context, The A.I. Industry, Institutional Asset Management, Risk Management Strategies & Processes, Hedge Funds, Risk Management & Operations, Allocating to A.I.

On Nov. 13, the 24th Annual National Pension and Institutional Investment Summit convenes in Dallas Texas. CAIA is a sponsor of this event. Panayiotis Lambropoulos, portfolio manager of hedge funds at the Employees Retirement System of Texas, will offer his insights at a panel on emerging hedge fund managers. Lambropoulos’Read More


Avoiding Over-Allocation to Alternative Investments

Nov 6th, 2018 | Filed under: Private Equity, Newly Added, Institutional Investing, Risk management, Asset allocation, Asset Allocation Models, Risk Metrics and Measurement, The A.I. Industry, Institutional Asset Management, Risk Management Strategies & Processes, Hedge Funds, Private Investments

A new white paper from New York Life looks at the role of alternatives in portfolio construction and argues that usual risk-return based approaches can underestimate risk and lead to over-allocation to the alternatives. The paper, by Amit Soni, an NYL portfolio manager, proposes a new method “to quantify performanceRead More


The View from Toronto: Ratios Aren’t Set in Stone

Oct 30th, 2018 | Filed under: Hedge Fund Strategies, Newly Added, Asset allocation, High-net-worth investors, Asset Allocation Models, The A.I. Industry, Institutional Asset Management, Family Offices, Hedge Funds, Allocating to A.I.

On Oct. 29, the AIMA Canada Investor Forum 2018 convened at Sheraton Centre, Toronto. The event focused on new innovations in the world of alternative finance, brought about by a combination of investor demand and technological change. The forum kicked off with a discussion about the current role of hedgeRead More


Quantifying High Performance Dispersion Risk in Alternatives

Oct 24th, 2018 | Filed under: Performance, Analytics & Metrics, Alpha & Beta, Newly Added, Institutional Investing, Risk management, Asset allocation, Asset Allocation Models, Risk Metrics and Measurement, The A.I. Industry, Institutional Asset Management, Risk Management Strategies & Processes, Risk Management & Operations, Allocating to A.I.

By Amit Soni, Portfolio Manager, Strategic Asset Allocation, New York Life Investments Lofty valuations in traditional assets have encouraged investors to explore alternatives. Unfortunately, the lack of a holistic investment framework to incorporate alternatives poses a challenge. Traditional risk-return based approaches, alone, over-allocate to alternatives–a result of underestimation of risksRead More


Pensions and Real Estate: CEM Benchmarking

Oct 11th, 2018 | Filed under: Real Estate, Newly Added, Institutional Investing, Asset allocation, Asset Allocation Models, Operationally Intensive Real Assets, The A.I. Industry, Institutional Asset Management, Real Assets, Allocating to A.I.

A new paper by Alexander D. Beath and Chris Flynn examines the significance of real estate investing within the portfolios of large European institutional investors from 2005 to 2016. Beath is a senior research analyst with CEM Benchmarking, with a PHD. from McGill University on condensed matter and materials physics.Read More


Self-Organizing Maps for Selecting Hedge Funds

Oct 9th, 2018 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies, Newly Added, Asset allocation, Benchmarking & Performance Attribution, Asset Allocation Models, The A.I. Industry, Risk Management Strategies & Processes, Hedge Funds, Allocating to A.I.

A new paper by Claus Huber, of Rodex Risk Advisers, looks at machine learning for risk analysis, working especially from the “self-organizing maps” associated with Finnish Professor Teuvo Kohonen. A SOM is a low-dimensional representation of input space (thinking of it as two dimensional makes the “map” analogy intuitive, andRead More


Asset Management in China: Expect Growth

Jul 8th, 2018 | Filed under: Consultants, Newly Added, Institutional Investing, What about beta?, High-net-worth investors, Asset Allocation Models, Institutional Asset Management, Finance & Economics

A new study by Casey Quirk looks at asset management in China. It makes a bold claim: that by 2030, asset management strategies broadly defined will account for 10% of total Chinese wealth. That will be a more than doubling of the corresponding number at present: 4%. If China getsRead More


DB: Investors Newly Optimistic About Hedge Funds

Feb 22nd, 2018 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Industry Size & Managers, Newly Added, Institutional Investing, Asset allocation, Benchmarking & Performance Attribution, Asset Allocation Models, The A.I. Industry, Institutional Asset Management, Fees, Hedge Funds, Structure of the Hedge Funds Industry, Allocating to A.I.

Deustche Bank recently released its Alternative Investment Survey, the 16th annual.  This year the questionnaires received replies from 436 global hedge fund investors, with assets under management of $2.1 trillion, who shared their insights, sentiments, and allocation plans.  Glenn Bunn, co-head of Prime Finance at DB, said in a statementRead More


Unsophisticated Techniques of Equity Factor Investing Still Prevail

Feb 1st, 2018 | Filed under: Alpha & Beta, Newly Added, Institutional Investing, Asset allocation, Asset Allocation Models, Institutional Asset Management, Allocating to A.I.

EDHEC Risk Institute, in collaboration with ERI Scientific Beta, surveyed 114 investment professionals between June and September 2017 about their motivation and interests with regard to equity factor strategies. It found that many, especially on the asset owners’ side of things, were strikingly distant from the state-of-the-art in analytical approachesRead More


Global Macro: Valuable for Institutional Portfolios

Jan 7th, 2018 | Filed under: Hedge Fund Strategies, Newly Added, Institutional Investing, Asset allocation, Asset Allocation Models, Institutional Asset Management, Macro and Managed Futures Funds, Hedge Funds, Allocating to A.I.

The Mekata Investment Group has published a white paper on global macro hedge funds, contending that a position in such a fund is a valuable defensive tool for an institution. Global Macros are valuable because they perform best during turbulent or volatile markets, which is when defense is most needed,Read More


Exley on Cashflow-Driven Investment

Nov 26th, 2017 | Filed under: Liability Driven Investing, Newly Added, Asset allocation, Asset Allocation Models, Institutional Asset Management

A new paper by Jon Exley, solutions manager of Schroders, discusses cashflow-driven investment (CDI) as a system of portfolio management that accepts and builds upon liability-driven investment (LDI). The idea in both cases is to match all future projected liability payments as they fall due, which is definitionally the imperativeRead More


Alternative Investments in Target Date Funds

Oct 3rd, 2017 | Filed under: Newly Added, Asset allocation, Asset Allocation Models, Alternative Investments in Context, The A.I. Industry

Vanguard, the manager of about 370 low cost traditional funds and ETFs, and an institution famously associated with low cost retail investing, has made public a new paper on the inclusion of alternative investments in target date funds. It isn’t enamored of the idea. Target date funds (TDFs), otherwise knownRead More


Aon: Alternative Risk Premia Viable for Many

Sep 17th, 2017 | Filed under: Alpha & Beta, Financial Economics Theory, Newly Added, Asset Allocation Models, Allocating to A.I., Finance & Economics

A new report from Aon discusses the contemporary market for alternative risk premia: where it is, how it got here; where it may be headed. The authors, Matthew Towsey and Chris Walvoord, begin with some very basic considerations of what ‘risk premia’ are. They are, on the one hand, theRead More


Boston College’s CRR on Alternatives in Pension Portfolios

Aug 13th, 2017 | Filed under: Newly Added, Asset Allocation Models, The A.I. Industry, Institutional Asset Management

The Center for Retirement Research at Boston College has put out a white paper about public pensions and alternative investments.  It asks two questions: which plans have made the largest shift into alternatives? And, how has that shift mattered to their returns and risk? The report begins with the observationRead More


A Simple Approach to the Management of Endowments

Aug 7th, 2017 | Filed under: Newly Added, Asset allocation, Asset Allocation Models, Endowments & Foundations, Institutional Asset Management, Allocating to A.I.

By Hossein Kazemi & Kathryn Wilkens, CAIA Endowments and foundations are tax exempt and charitable organizations that rely on permanent pools of capital to fund their activities. These pools of capital are owned by institutions such as colleges, universities, hospitals, museums, scientific organizations, charitable entities, and religious institutions. When well-fundedRead More


Lessons from University Endowments

Jul 23rd, 2017 | Filed under: Newly Added, Institutional Investing, Asset allocation, Asset Allocation Models, Endowments & Foundations, Institutional Asset Management, Allocating to A.I.

In a recent article for The Journal of Investment Consulting, John Mulvey and Margaret Holen look at the practice of asset allocation among large U.S. university endowments. They focus on asset category definitions in the hope of throwing some light on “the movement to define asset categories with reference toRead More


Pensions: On Mortality and Long-Duration Corporate Bonds

Jul 11th, 2017 | Filed under: Newly Added, Asset allocation, Asset Allocation Models, Allocating to A.I.

Milliman, an actuarial and consulting firm headquartered in Seattle, has completed a white paper on corporate pension funding based on its 17th annual analysis of the disclosures of the “Milliman 100,” that is, of the 100 biggest corporate defined benefit plan sponsors in the U.S. The funded ratio of theseRead More


Alternative Risk Premia Investing

Jul 9th, 2017 | Filed under: Alpha & Beta, Newly Added, Asset Allocation Models, Allocating to A.I.

Unigestion has posted a research paper by Olivier Blin, Joan Lee, and Jérôme Teiletche, on “some of the practical considerations that should help investors get the most out of their allocation to” alternative risk premia (ARP) strategies. Unigestion is a boutique asset manager, and Blin is its head of crossRead More