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White Papers

White Papers

In-depth, expert analysis on the changing landscape of investments around the world. Leading asset managers reports uncover trends, highlight changes and consider future strategic impact.

Jacobi - Multi-Asset Class Modeling: Time to box up your traditional asset classes?

It seems like investment managers everywhere are rushing to put a risk factor spin on their investment processes. But what exactly are the advantages of using risk factors rather than asset classes? Is it time to box up your traditional asset classes and put them in the attic so one day you can show future generations how we used to manage money? This paper discusses the importance of having tools and models that give you useful and actionable ways to understand, manage and communicate the risks in your portfolio.

Company: Jacobi
Date added: 20-07-2018
Sector: Asset Allocation

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Jacobi - Step Optimisation and Portfolio Design

Traditional portfolio optimisation processes have several well-known shortcomings. Consequently, investors often significantly constrain the optimisation, resulting in little new information. One solution to overcome these limitations is a Step Optimisation routine. In this paper, we will discuss how visualising changes to asset allocations in incremental steps can be an improvement upon existing approaches.

Company: Jacobi
Date added: 20-07-2018
Sector: Asset Allocation

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Jacobi - Modelling Illiquid Assets within Multi-Asset Portfolios

Illiquid asset classes have become a significant driver of institutional investment portfolio return and risk. However, the dynamics of how these asset classes behave within multi-asset portfolios are not fully captured by traditional portfolio modelling processes. This paper explores how multi-asset investors can incorporate the unique characteristics associated with illiquid asset classes into their multi-asset portfolio modelling to produce more complete risk and return estimates, as well as to inform future commitment/redemption activity.

Company: Jacobi
Date added: 20-07-2018
Sector: Multi Asset

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