Risk and Portfolio Construction - Articles & White Papers
White papers and articles on portfolio construction and risk management for investment managers. Maintaining an appropriately diversified portfolio, managing portfolio risk, and controlling the risk/reward characteristics of a fund are essential basics for money managers. Academic papers on portfolio optimization are particularly helpful in this regard. The most frequently downloaded...
research in this section relates to reports on measuring investment risk, for instance: analysis of the time horizon over which risk is best estimated, and using risk factors as building blocks for portfolio diversification. Papers on tracking error have been well received as have papers on tail risk and fat tails. A number of articles in this section argue the case for concentrated portfolios and a need for more active management. Surveys on risk management and risk management systems have proved popular, enabling members to understand the risk practices employed by their peers. Other research on portfolio risk in this section includes papers on low volatility investing, equity risk premia, risk parity, models for forecasting asset class risk and the capital asset price model (CAPM).
In a world of low return expectations and even lower interest rates, pension plans are re-evaluating their portfolios, looking for alternative ways to achieve return targets and improve funded status. Diversifying portfolios with real assets helps address these challenges. Real assets may reduce portfolio volatility, enhance…
In the face of market volatility, lower-for-longer interest rates, and return expectations for equities and bonds that are well below historic averages, institutional investors are considering real assets to help meet investment objectives.Portfolio optimization using 28 years of returns demonstrated private real assets’…
Today, more than $2.7 trillion (or ~12% of total assets) is invested through model portfolios in the United States alone. Financial advisors, wealth management and asset management firms use models to define the underlying securities, funds and ETFs that many of their retail clients invest in. While models help to improve…
Balancing protection and upside potential is a difficult exercise, but WisdomTree hope investors will find some ideas and some inspiration on how to tackle it in this paper, whether it is through a dynamic asset allocation that rebalances between cyclical and defensive assets or through the selection of asymmetric defensive…
Building on the factor analysis work in the preceding section,Nuveen illustrates how a public pension plan can use this work to construct a portfolio with explicit factor exposure targets. This approach can help maximize the diversification benefits of the real asset portfolio. Furthermore, it can be customized to meet the…
Even a long history of gains is hard to reconcile with a decade of pain for Value investors. In the second webinar of our CIO Agenda series, Sandy Rattray and Daniel Taylor discuss whether the march towards zero or negative nominal interest rates and their consequences can help provide some clues as to Value’s fate.
Welcome to Invesco's fifth annual Factor Investing Study, based on an interview program with 238 factor investors. This study incorporates the views of 138 institutional investors and 100 wholesale investors that are together responsible for managing over US$25.4 trillion in assets (as of 31 March 2020).
State Street proposes a more reliable way to predict the stock-bond correlation, focusing on relevant economic variables during relevant periods in history. Despite its importance for portfolio returns, the stock-bond correlation is often predicted in an unreliable way. The most common approach is to assume that what…
While equities have made one of the fastest recoveries from a bear market in history, some market stress metrics remain – and have even intensified. In our latest Intech Equity Market Stress Monitor® Report, we highlight areas of concern that continue to underlie global equity indexes.
In September 2020, Wellington partnered with the Financial Times Live to host a virtual event in their Digital Dialogue series, focused on strategies to share a more sustainable future.This event replay features a panel of leading experts from Wellington Management, the PRI, and Harvard Business School and offers you topical…
The Capital Market Line retains a fairly typical positive slope, favoring return-seeking portfolio construction. We are in the early stages of a multi-year economic recovery, which should provide an extended tailwind to cash flow growth. While capitalization rates look high relative to long-term averages, these shouldn’t be…
The global equity market recovery continued in the third quarter (Q3), as economies reopened and massive fiscal and economic stimulus boosted the rebound. And as major indices regained lost ground, benchmark risk slid. Performance varied by region, with the US and China posting substantial gains, while the UK saw losses and…
In the current environment of heightened uncertainty, managing a multi-asset portfolio has rarely looked as complex as it does today, especially for those investors looking for an appropriate governance model on which to take investment decisions.The issue is not only to make accurate market forecasts and formulate…
Low Volatility strategies — consisting of portfolios or indices of stocks that have exhibited the least volatility over a certain time period, often the past 12 months — have a deservedly good reputation for offering investors equity-like returns with less risk. As with so many aspects of our lives in “the new normal” of…
In recent years it has become trendy to eschew policy benchmarking as anachronistic and irrelevant in today’s world of dynamic portfolio construction, complex alternative investments, and different risk and liquidity profiles. Cambridge Associates disagree. Policy benchmarking is a critical component of building and managing…
