Tailored Asset Allocation
Tailored Asset Allocation
Asset allocation is inherently complex, especially for long-term investors. Our simulation-based asset allocation approach, which is part of our ASAMM toolkit, is specifically designed to capture the complexity of markets and returns over the long-term. We provide a realistic laboratory for investors to test asset allocation strategies.
We work with clients to explore trade-offs between return and risk that are tailored to their specific circumstances, from which they can test strategies, understand risks, and create optimal long-term portfolios.
Strategic Asset Allocation
Strategic Decisions
Strategic asset allocation (SAA) decisions require thorough research and careful deliberation. All SAA decisions are investor-specific and need to be treated as such.
We integrate investor-specific objectives and constraints into our modelling engine, from which optimal asset allocations can be built. The simulation approach uniquely integrates macroeconomic variables alongside asset prices, allowing for intuitive interpretation of returns and risk, and avoiding black box analysis.
- Optimal allocations
- What is the optimal equity share/composition of fixed income portfolio?
- Spending rules
- What is a sustainable rate of spending from an endowment/sovereign fund?
- Rebalancing
- What is the optimal rebalancing regime for major asset classes?
- Delegation
- How should portfolio delegation structure align total and relative performance incentives?
- Adding asset classes
- Should emerging market equities be included in the strategic equity allocation?
- Evaluating exposures
- What does listed real estate contribute to the portfolio's long-term risk and return?
- Manager evaluation
- What are the expected returns and risk of a manager's strategies and they appropriate for the client?
- Currencies
- Should investors hedge currency risk in their portfolios?
Long-term Asset Allocation
Long-term asset allocation, connected to macro
Our asset allocation model integrates global macro and asset prices alongside explicit modelling of investor's objectives, constraints and characteristics.
We explore asset allocation alternatives by simulating a large number of alternative paths for macro and asset markets. Investors can test any asset allocation and rebalancing strategy and impose their views on how markets will evolve going forward.
A key distinguishing feature of the simulation model is an accurate representation of macro risk, including capturing macro regimes. Our offering is uniquely able to generate macro-driven asset prices, where yield curves, equities, FX and all other asset classes embed realistic macro expectations across short and long horizons.
Read More
Designing macro-resilient portfolios in a changing world
We outline a process for building portfolios that are resilient to macro risks over the long term.
Asset allocation and investing in a changing world
How can investors respond to macro uncertainty and changing regimes?
Your investor characteristics and objectives can be quantified
Understanding how to model investor preferences and constraints in asset allocation.
AS Tailored Asset Allocation
Advanced asset allocation modelling combining macro dynamics, markets and investor objectives
Macro Dynamics
United States
Macro Expectations
Euro zone
Financial Markets
Equities
Government Bonds
Private Assets
Investor Characteristics, Objectives and Constraints
Strategic Asset Allocation
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