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Best Asset Allocation Paper 2018

  • ,  Chief Executive |
  • 04 Dec 2018
  • Updated 06 Dec 2018

Arnott, Chaves and Chow win "Best Asset Allocation Paper 2018"

In a very strong field, the award for "Best Asset Allocation Paper 2018" was awarded to Robert D. Arnott, Denis B. Chaves and Tzee-man Chow for a paper which helps asset allocators assess valuation levels in the light of macroeconomic conditions.

Asset Allocation 2018


King of the Mountain: The Shiller P/E and Macroeconomic Conditions

In this paper for the Journal of Portfolio Management, Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow examine the interplay that exists between the Shiller P/E ratio and the macroeconomy.


Demographics, Inflation and Asset Prices (Goldman Sachs Asset Management)

This 19-page report by Goldman Sachs Asset Management explains some of the current changes going on in global demographics. It highlights the complex link between demographics, asset prices, inflation, and present demography-based predictions for major economies.

5-year Expected Returns 2019-2023: Patience is a virtue (Robeco)

For compliance reasons, this paper is NOT accessible in the United States

This comprehenive 116-page document provides five-year return forecasts for all the major asset classes, anchored in each case by a solid analysis of market valuations. In addition, there are separate sections covering a variety of pertinent themes such as debt, asset allocation and stranded assets.

What Does Population Aging Mean for Growth and Investments? (KKR)

This excellent paper by KKR explores what population aging means for growth, investment, and social cohesion around the world. The authors address some of the economic implications of aging, the levers countries may pull to counteract these challenges, and the investment opportunities that arise as a result.

The Currency-Hedging Dilemma (Morningstar)

This 13-page Morningstar document uses empirical data to show the effect of currency hedging upon equity and fixed-income returns. The authors examine the theory, costs and potential tax consequences of hedging and provide a framework that investors might use to select a currency-hedged fund.

Stock/Bond Correlations: Relationship Troubles (UBS Asset Management)

The correlation between these two core asset classes is amongst the most important relationships in asset allocation. In this paper, UBS explores the historic correlation between stocks and bonds, what drives the relationship and how this might change in the coming years.

Optimizing Currency Exposures under Solvency II (Neuberger Berman)

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

Solvency regulations tend to drive insurers towards currency hedging, but a 100% hedge will almost certainly fail to yield the best volatility-adjusted portfolio returns. In this paper, Neuberger Berman examines the multiple issues that insurers should take into consideration.


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