The best of 2018 - Asset Allocation
The winning and commended papers for all 15 categories at the 2018 Savvy Investor Awards were announced on December 4th. The first link below will take you straight to our blog for the Best Asset Allocation Paper category, where you can view both the winning paper and the other commended papers that were recognized.
Additionally, we've included some great asset allocation papers from the past few weeks, most of which just missed the cutoff for this year's awards.
TOP ASSET ALLOCATION PAPERS OF 2018
The winners of this year's award for Best Asset Allocation Paper were Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow. Click here for more information about their paper as well as other commended papers recognized in the Savvy Investor Awards.
TOP PAPERS FROM THE LAST FEW WEEKS
For compliance reasons, this paper is NOT accessible in the United States
So far, the global high yield bond market has been disrupted less by technological change than certain equity sectors. This issue of Hermes's Credit Spectrum advocates for an active approach to high-yield allocations that takes into account sectors that are more resilient to disruption.
For compliance reasons, this paper is only accessible in the United States
Many investors need to make long-term asset class forecasts for planning and portfolio construction purposes. In this 16-page paper by PGIM, the authors examine the empirical performance of two different approaches to forecasting future ten-year equity returns: a regression methodology using CAPE and a more traditional “building block” approach.
Global quantitative tightening regimes could play a large role in asset allocation decisions in 2019. In this paper, Axioma stress tests potential monetary policy scenarios on a hypothetical multi-asset portfolio.
For compliance reasons, this paper is only accessible in the EMEA region
Franklin Templeton presents their long-term capital market expectations over a 7-year period, the average length of a US business cycle.
This 60-page guide by the Institutional Investors Group on Climate Change aims to serve as a ‘how-to guide’ for institutional investors who are beginning to construct and conduct analysis on climate change scenarios.
Why do some investors care so much about the correlation between equities and Treasuries? Presumably, many believe the historically negative stock-bond correlation reflects the degree to which bonds will effectively hedge against a significant equity market sell-off, as happened in the 2008 global financial crisis. Yet, taken literally, the stock-bond correlation generally says little about the relative performance of stocks and bonds – arguably what investors actually care about.