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.
WINNER: ARNOTT, CHAVES, AND CHOW
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.
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.
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.
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.
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.
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.
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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