Asset Allocation and Portfolio Construction Considerations: Sep 2021

The Latest Thinking in Asset Allocation and Portfolio Construction

The ESG wave continues to roll inexorably across the asset management industry, with significant numbers of asset owners and their managers signing up for net-zero or ESG/impact investing initiatives. Meanwhile, with returns expected to remain low and the jury out on whether recent inflation is structural or merely transitory, investors are seeking new approaches in both the traditional and alternative markets for consideration in their asset allocation decisions.

This selection of papers explores the latest thinking on integrating ESG considerations with existing portfolio construction techniques, and how such techniques can also be applied to impact investing. Other papers offer insights into institutional thinking about portfolio construction and hedging strategies, the diversification benefits that might accrue from an allocation to Japanese equities and how the use of quant and fundamental techniques may aid fixed income returns.

Optimising for Impact with Private Equity and Real Assets (Nuveen, 2021)

Nuveen’s paper argues that traditional portfolio construction techniques can be used in the creation of portfolios with impact goals. But investors need to be clear on those goals and how to measure them from the outset.

What Others Teach Us, Lessons in Investing (Baillie Gifford, 2021)

For compliance reasons, this paper is only accessible in certain geographies

Baillie Gifford’s note seeks to disavow one of the main investment industry mantras by illustrating that sometimes it can be wrong to take a profit.

Diversification Benefits of Owning Japanese Equities (RBC GAM, Aug 2021)

For compliance reasons, this paper is only accessible in the United States and Canada

RBC GAM suggests that investing in Japanese equities offers both diversification benefits and the potential for being a unique source of alpha.

Risk & Reward Q2 (Invesco, Jun 2021)

For compliance reasons, this paper is only accessible in certain geographies

Invesco offer their insights into why ESG should be seen as integral to the investment management process.

Opportunities Across the Cap Spectrum (Diamond Hill CM blog, Aug 2021)

Diamond Hill portfolio managers Chris Welch and Aaron Monroe outline where they are finding pockets of value and investment opportunities in today’s U.S. equity markets.

Portfolio Strategies For the Post-Pandemic Period (World Gold Council, 2021)

For compliance reasons, this paper is only accessible in certain geographies

The World Gold Council offers the results of its survey of 500 institutional investor portfolio allocations and their views on gold, markets and other asset classes.

Balancing Opportunities and Risks in a Portfolio (Janus Henderson, Jul 2021)

For compliance reasons, this paper is only accessible in the United States and Canada

Head of U.S. Fixed Income Greg Wilensky joins Portfolio Managers Jeremiah Buckley and Michael Keough in a roundtable discussion on building resilient, diversified portfolios to contend with the most taxing of economic environments.

Quant and Fundamentals in Portfolio Construction (T. Rowe Price, Aug 2021)

For compliance reasons, this paper is only accessible in certain geographies

T. Rowe Price highlights their Sector Strategy Advisory Group framework for fixed income sectors, which incorporates both quant and fundamental inputs to guide sector allocations.

Commodity Portfolios: Strategy and structure (JPM/Denver Business School, 2021)

The authors analyse individual commodity returns and offer insight and guidance on how extreme volatility in returns can impact commodity portfolio strategies.

The Case for a Dedicated China Equity Allocation (Mercer, 2021)

Mercer’s paper outlines the rationale behind an equity allocation to China and puts this into context against MSCI index weights.