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Best Asset Allocation Paper 2021

Oliver Wyman Wins Best Asset Allocation Paper 2021

2021 has largely been about ‘climbing the wall of worry’ for many investors. Though there has been potentially much to fear, many equity markets continued to defy these concerns to rise to new heights. The winning paper in this category by Oliver Wyman  offers a new viewpoint on the U.S. equity market from a valuation perspective, questioning whether historical valuation methodology is still relevant, while re-engineering the CAPM model to better frame future uncertainty.

Best Asset Allocation Paper 2021


Understanding Past, Present, and Future of the U.S. Equity Market (Oliver Wyman, 2021)

This paper, the first in a series from Oliver Wyman, analyses the secular and structural forces that have driven U.S. asset markets, and particularly the equity market, over an extended period. They question why U.S. stock market valuations have varied so much over time, and whether historical valuation methods addressed many of these forces. The authors suggest a new valuation model which may help to provide some context for future uncertainty.


International Guide to Cost of Capital: 2021 Summary Edition (CFA Institute Research Foundation)

CFA Institute Research Foundation presents the first edition of the International Guide to Cost of Capital Summary Edition (IGCC) from Duff and Phelps/Kroll. This guide decomposes 'country risk' into underlying components (political, economic, and financial risk) that investors face when investing in different countries and provides investors with a wealth of data and information, which is intended to assist investment professionals as they undertake their roles.

Stocks, Bonds, Bills, and Inflation: 2021 Summary Edition (CFA Institute Research Foundation)

The 2021 Summary Edition of Stocks, Bonds, Bills and Inflation from CFA Institute Research Foundation will assist investment professionals in their comprehension of asset class returns, how returns are calculated and how other factors, such as size, liquidity, and value/growth impact on long-term returns. This edition includes interpretive analysis and insights to end-December 2020 and has the aim of increasing the global investment community's knowledge and understanding of quantitative investment strategies.

Clearing Hurdle Targets Amid Rising Rates (Nuveen, 2021)

The latest NACUBO-TIAA Study of Endowments emphasises the ongoing dilemma faced by foundations and endowments to maintain capital bases in real terms while facing the challenges posed by the reappearance of inflation, potentially higher interest rates, and lacklustre asset class returns. Nuveen’s paper suggests ways in which those institutional investors might seek to optimise portfolio construction methodologies to start to narrow the differential between targeted hurdle rates and expected investment returns

Cash Dethroned: Reallocation opportunities for insurers under Solvency II (M&G Investments, Apr 2021)

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

Following the introduction of Solvency II, insurers continue to wrestle with high capital charges on some defensive assets, while obtaining very little return on cash. M&G’s paper investigates some of the options that might warrant a switch out of cash and into some higher yielding assets. They explore some of the concerns that exist over liquidity and safety by suggesting a compensating allocation to short-dated gilts, credit or senior ABS.

Is Diversification a Myth? (State Street, 2021)

State Street argues that asset class correlations are asymmetric, causing issues in portfolio construction. Many investors don’t measure asymmetric correlations correctly, leading to periods when a seemingly diversified pool of assets tends to act as a single entity to the downside when diversification is most needed. This paper illustrates a technique called full-scale optimisation to create portfolios that exploit correlation asymmetries, leading to reduced risk.

A Source-based Approach to Managing Inflation Risk (Wellington Management, 2021)

Wellington Management’s Multi-Asset Strategists Nick Samouilhan and Adam Berger offer a detailed guide to the many sources of inflation, as where inflation comes from matters, given it plays a critical role in determining its effect on a portfolio. They also assess the level of risk related to different inflation sources and suggest that investors consider positioning portfolios pre-emptively by considering the inflation source, then implementing a range of strategies designed to mitigate its effects.


View all Award category winners and read the latest news from Savvy Investor directly from CEO Andrew Perrins in the 2021 Awards Magazine. Download now!


The Savvy Investor Awards celebrate the best content from across the global institutional investment industry. We present awards across 10 different categories including the best overall paper.

Every year our Content Team handpicks and uploads over 10,000 articles and papers to the Savvy Investor platform. This library, alongside engagement data from 57,000+ members, means our judges are well-placed to identify and assess the award-worthy papers of 2021. The Awards are judged on many elements including the depth, quality, readability, and of course, appeal and relevance to our institutional investor audience. In a world saturated with content, and where it’s difficult to cut through the noise, it is a great pleasure to highlight quality, cutting edge, and deeply engaging thought leadership for the investment community.

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