Asset Allocation - the top papers of 2016
The best asset allocation white papers of 2016
Over the last few months, the Savvy Investor research team has curated a selection of the best asset allocation white papers from around the web, written by some of the world's leading investment organisations. The papers cover a range of topics including factor investing, the illiquidity risk premium, portfolio construction and strategic asset allocation. We present them here:
Expected Returns 2017-2021: It’s Darkest Just Before Dawn (Robeco, Oct 2016)
The paper by Robeco examines a variety of key issues for global markets. It sets out forecasts for returns from the world's major asset classes over the next five years.
Understanding the illiquidity risk premium (Willis Towers Watson, 2016)
The authors of this 10-page document discuss three different dimensions of illiquidity risk premium that investors should demand for a given asset.
Equity/Bond Correlation: History and Future Prospects (BlackRock, July 2016)
In this 6-page paper, Nuno Luis and David Caplan of BlackRock examine the history of the equity/bond correlation and discuss the likely future path.
Financial Market History: Reflections on the Past for Investors Today (CFA, 2016)
This 279-page book, published by CFA Institute Research Foundation, provides a detailed, varied and fascinating look at the history of financial markets.
The Investment Implications of an Aging World (PGIM, 2016)
This paper examines aging populations, now a worldwide phenomenon, and seeks to identify investment strategy ideas that can be implemented by institutional investors.
A framework for institutional portfolio construction (Vanguard, 2016)
Institutional investors typically pursue one of four investment goals: absolute return, liability-driven investment, total return or principal protection. This paper considers which are the best approaches to achieving these goals.
The Shiller CAPE Ratio: A New Look (Jeremy Siegel, 2016)
Robert Shiller's CAPE ratio has served as one of the best models for forecasting long-term future stock returns. However, recent future equity return forecasts may be overpessimistic. Jeremy Siegel explores further.
A Hole in Strategic Asset Allocation (Janus Capital, Sep 2016)
This paper by Janus Capital highlights deficiencies related to traditional strategic asset allocation. It suggests an adaptive approach that will help maximize compound return while reducing acute tail risk.
Factor Investing and Asset Allocation: A Business Cycle Perspective (CFA, Feb 2017)
Factor investing is as old as the hills. Yet it has only recently become a widespread practice. What is behind this sudden change? This paper by CFA Institute Research Foundation asks a range of other important questions.
The (un)Predictable Equity Risk Premium (2016)
This 40-page paper has been jointly authored by Richard J. Bianchi, Michael E. Drew and Adam N. Walk. They examine the ERP concept (equity risk premium) particularly what is meant by 'the premium' for taking risk.
ABOUT THE AUTHOR
Andrew Perrins is a former Actuary and Asset Allocator. After qualifying as an Actuary, he worked for 15 years in investment management, serving as Director of Asset Allocation for Abbey Life and for Chase Manhattan, before setting out on a more entrepreneurial path.
To contact him, email [email protected]