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Is your Portfolio Prepared for the Next Challenge?

Multi-Asset Portfolio Construction and Risk Management

After some extreme moves in asset prices, now may be an a opportune time to review key aspects of the portfolio construction process for multi-asset managers.

Investors have recently been reminded that liquidity risk, for example, is an important facet when determining portfolio allocations. This selection of papers helps to address and investigate some of the issues associated with portfolio construction.


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Building a Better Portfolio: Balancing Performance and Liquidity (PGIM IAS, Apr 2020)

GIC EIS and PGIM's IAS teams have joined forces to integrate liquidity measurement and cash flow management into a multi-asset, multi-period portfolio construction process.

Five Portfolio Construction Themes For and After the Global Pandemic (Nuveen, Apr 2020)

Nuveen outlines five portfolio construction themes and offers insights as to where economies and markets might be headed.

March Mayhem: Was your portfolio betrayed by Beta? (Intech, Apr 2020)

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

In the recent selloff, there were few hiding places with even supposed low beta defensive stocks falling hard. Intech illustrates that an unusual shift in equity betas across the market, in the form of a sharp decline in correlations of stock betas and a narrowing of the overall beta spread was to blame.

Improving Portfolio Diversification with Single Factor Indices (Scientific Beta, 2020)

Scientific Beta suggests how investors might be able to improve portfolio robustness by using factor deconcentration and conditional diversification measures.

Building Global Equity Portfolios: Capturing sources of return (QMA, 2020)

In the process outlined in this paper, QMA show that a systematic factor-based, cross-sectional top-down framework, combining local country and global industry exposures can significantly increase the investable opportunity set in global equity portfolios and augment excess returns.

The Corona Quarter (Qontigo, Apr 2020)

This Q1 2020 Insight Report from Qontigo examines changes in risk across asset classes, together with the performance of style factors and volatilities in what was a challenging time for investors.

Video: How the S&P managed risk 2.0 indices dynamically respond to risk (S&P Dow Jones Indices, 2020)

S&P DJI's Tianyin Cheng demonstrates how a transparent, rules-based approach to risk management is designed to offer participation and downside protection.

Portfolio Rebalancing (State Street, 2020)

State Street's paper examines a range of approaches to portfolio rebalancing and suggests that a 'one size fits all' rule does not apply.

Designing More Defensive Solutions - A new solution that really is low volatility (Scientific Beta, 2020)

Scientific Beta outlines in this publication a robust, dynamic defensive solution for equity portfolio management.

Playing Defense: Quality bias prevails in exodus from risk (FTSE Russell blog, Apr 2020)

FTSE Russell highlights the outperformance by defensive factors such as Quality, Profitability and Low Volatility over more economically sensitive and vulnerable sectors during the recent market turbulence.

The Month Investing Changed Forever: Exploring the sea change in risk models and pricing behavior (BNY Mellon, Apr 2020)

BNY Mellon explores changes in risk models and pricing behaviour during turbulent times for markets.

The Market Impact of Dynamic Hedging on Hedging Program Performance in the Insurance Industry (SOA, 2018)

This presentation explains how derivatives are being used by insurance firms and how their deployment can be managed within a low volatility and intermittent volatility spike environment.

Alternative Alphas and Asset Allocation (CAIA, 2020)

This paper provides a framework for asset allocation that is based on extended diversification with returns found through equity beta and various sources of alpha.

Rebalancing Portfolios in a Bear Market (Wells Fargo Investment Institute, Apr 2020)

The Asset Allocation Team at Wells Fargo Investment Institute illustrates why it might be a good time to consider rebalancing opportunities.

Enhanced Portfolio Optimization (2020)

The authors of this paper attempt to develop an Enhanced Portfolio Optimization solution that addresses some of the shortcomings found in standard mean-variance optimization models.