Asset Allocation and TAA - Articles & White Papers

During the last few years, many U.S. pensions have become fully funded for the first time since 2008. With the widespread adoption of liability driven investing (LDI), bonds now represent a majority of pension assets. With the use of more hedging and less equity risk, pension plan surpluses are likely to persist. This paper…

Our 2024 expectations for annualised returns over the next 20 years are a mixed bag. Strong gains across markets over the past year have tempered our expected returns for equities relative to our 2023 outlook. On the other hand, higher starting yields translate into improved expectations versus last year across many fixed…

Markets took a more noticeable pro-risk turn in February, following a mixed and volatile start in January.

How much trend-following should investors hold in a portfolio?

Vanguard researchers present a framework to help investors choose the most efficient rebalancing method in terms of risk, return, and costs.

Invesco describes how the strong performance of many assets over the last four months, and the firm’s concerns about the state of the global economy, leads it to expect lower returns and to spread the risks within its Model Asset Allocation.

We expect the economy to ‘normalise’ over the coming years and revert to a situation of under-consumption and under-investment, pushing inflation down to central bank target levels in the U.S. and the UK or lower in Japan and the eurozone. Risk-adjusted returns for a euro-based investor are likely to be modest over the next…

Long-term CMAs can be important ingredients for multiple long-term investment activities.

‘Don’t put all your eggs in one basket’, or at least not too many eggs, is a widely known maxim.

This edition of MFS' Long-Term Capital Market Expectations includes proprietary expectations that look at return and risk across a variety of asset classes and regions.This version is presented in US Dollar terms and details our market expectations and our view of current economic and capital market conditions.

The quarterly Relative Value & Tactical Asset Allocation Outlook for Q2 2024: We continue to expect the United States to enter a recession in 2024; fundamentals of consumers and housing remain strong; commercial real estate fundamentals are generally stable outside the office sector.

“CalSTRS to Weigh New Opportunistic Sleeve, Eliminates 55% Limit on Private Assets”. So goes the headline of a recent article. Upon reading the article, I decided to explore the merit of CalSTRS’s proposed strategic shift, which is likely to place even greater emphasis on controversial alternative asset types.

Alternative risk premia offer the potential for attractive and durable returns driven by economic motivations and/or behavioral sources, and they can be harvested through quantitative, rules-based, long-short investment strategies.

Higher real rates may persist for 5 to 10 years. This likely would increase the cost of capital, which in turn could reduce the return advantage for stocks versus bonds, boost prospects for larger companies with high-quality earnings.

Invesco Investment Solutions develops capital market assumptions that provide long-term estimates for the behaviour of major asset classes globally. The assumptions, which are based on a 10-year investment time horizon, are intended to guide strategic asset allocations.

MetLife Investment Management’s Ruth Farrugia, Head of Insurance Asset Management, explains how Strategic Asset Allocation can optimize insurance portfolios over time for different client needs.

We challenge two central tenets of lifecycle investing: (i) investors should diversify across stocks and bonds and (ii) the young should hold more stocks than the old. An even mix of 50% domestic stocks and 50% international stocks held throughout one’s lifetime vastly outperforms age-based, stock-bond strategies in building…

Capital market expectations are designed to provide annualized return expectations over a longer-term horizon, typically viewed as 10 years. Specifically, Franklin Templeton calculate geometric mean return expectations over a 10-year period, which both fully captures the average length of a US business cycle and aligns with…

A tough 2022, a humbling 2023 and disparate outlooks for 2024 have left investors with a lot of tough choices. For strategists, there are fewer definitive answers still.

In this podcast, Sonja Laud, LGIM's CIO, is joined by Guy Whitby-Smith, Head of Solutions, and John Roe, Head of Multi-Asset Funds, who share their insights and analysis, including key market trends for the coming year.