Allocation Strategy

The ASAMM Framework

We have built a new generation of asset allocation solutions and macro investing tools underpinned by our “AS Asset Market and Macro Model” (ASAMM) framework.

ASAMM contains models that are used to understand what is priced into markets in terms of macro expectations and risk. A key aspect of all models is the use of present-value relationships that allows us to generate expectations and macro risk factors that are consistent with the market consensus pricing.

The ASAMM toolkit comprises proprietary models that are used for forward-looking asset allocation assessments. Our simulation-based model of global macro and asset markets is a stochastic engine that describes how asset prices can evolve relative to today’s consensus, given how macro expectations evolve. The model generates multi-horizon distributions of macro and asset returns which are used to explore alternative asset allocation approaches for clients.

Flexibility and robustness

Modelling asset prices and their economic foundations

When explaining market pricing or exploring asset allocation, we start with modelling asset prices levels rather than returns. This leads to a stable and realistic representation of investment outcomes. An added benefit is that this approach facilitates the integration of private and listed assets into a single modelling framework.

The ASAMM models integrate asset prices and macroeconomic foundations, ensuring consistency whether allocating across major asset classes or investing in alternatives or single-name stocks. Explicit modelling of economic linkages across pricing of asset classes ensures consistency across macroeconomic regimes and opens for a richer set of applications, such as allowing investors to incorporate their macro views into their asset allocation processes.