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Best Asset Allocation Paper 2019

Robeco wins "Best Asset Allocation Paper 2019"

The papers recognised this year are predominantly strategic in nature, providing both medium and long-term capital markets expectations, known risks that are relevant to these outlooks, and correlations to other asset classes. This year's winning paper is Robeco's "5-year Expected Returns 2020-2024: Escaping the Hall of Mirrors," which - at 117 pages - covers all of these topics with tremendous depth and acuity.

Asset Allocation 2019


5-year Expected Returns 2020-2024: Escaping the Hall of Mirrors (Robeco)

Former Federal Reserve Chairman Ben Bernanke once remarked that when central bankers seek to meet the expectations of market practitioners, the situation quickly devolves into a 'hall of mirrors.' Given low inflation expectations, increased recession risks, and pressures to act in a reactionary manner, how can central bankers escape from expectations of further dovish monetary policy decisions? In this 5-year outlook, Robeco provides return expectations for all major asset classes, as well as several other topics of interest to institutional investors and asset allocators.


2019 Long-Term Capital Market Expectations (Franklin Templeton)

Asset-level average return expectations within Franklin Templeton's Long-Term Capital Market Expectations document are calculated on a seven-year period, which is approximately the same length as the average business cycle in the United States. They go on to detail the reasoning behind some of their strongest convictions, including expectations of outperformance in emerging markets versus developed markets.

Investing for the long term (UBS Asset Management)

How should long-term investors such as sovereign wealth funds prioritize the barrage of (often short-term) data that they receive, and what are the factors that lead to their long-term success? UBS Asset Management believes that it is critical for these investors to manage uncertainty by staying abreast of long-term trends within the invetsment community. In addition to diversifying and developing resilient portfolios, the ability to remain agile and adapt quickly to changes present within industries or markets will bode well for SWFs and other long-term investors.

Balancing Act: Managing Risk across Multiple Time Horizons (FCLT)

Endowments, sovereign wealth funds and pension plans often find themselves in situations where they seem to be stuck between long-term obligations and the management of short-term results. These conflicting objectives are difficult to master without the appropriate risk management process in place for boards of directors. In this paper, FCLTGlobal discusses several stages of the risk conversation, presenting a comprehensive toolkit for the management of risk-related and asset allocation decisions for the long-term investor.

Slower growth and performance: five year capital market expectations (UBS Asset Management)

UBS Asset Management's 'baseline' (5-10 year) expectations are based upon their 'equilibrium' (30-40 year) views on the long-term return for asset classes, and adjusted for current market conditions, valuations, and other forward-looking inputs. These baseline expectations are then used to establish and to measure strategic asset allocations.

2020 Long-Term Capital Market Assumptions (Invesco)

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

Invesco's 2020 Long-term Capital Market Assumptions document begins with a unique foreward on differences between portfolio management theory and the practice of managing investment portfolios, written by Nobel Laureate and economist Harry Markowitz. Their forecasts go on to project that global 60/40 portfolios should expect less return and greater risk over the next decade.

Time to evolve: A quarter-century of FX reserve management (UBS Asset Management)

Central banks' FX reserves have increased precipitously since the Asian financial crisis of the late 1990s. Although the USD is still the dominant reserve currency, other currencies are gaining ground and China's RMB is making progress towards being considered a global reserve currency as well. Additionally, due to the fall in global interest rates, countries with significant FX reserves have been diversifying away from sovereign debt and into other asset classes such as corporate bonds and equities. These and other insights in this report stem from the UBS Annual Reserve Management Survey.

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Savvy Awards 2019 Magazine

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