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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 - 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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Fundamentals of Efficient Factor Investing

Combining long-only-constrained factor subportfolios is generally not a mean–variance-efficient way to capture expected factor returns. For example, a combination of four fully invested factor subportfolios—low beta, small size, value, and momentum—captures less than half (e.g. 40%) of the potential improvement over the market portfolio’s Sharpe ratio. In contrast, a long-only portfolio of individual securities, using the same risk model and return forecasts, captures most (e.g. 80%) of the potential improvement. We adapt traditional portfolio theory to more recently popularized factor-based investing and simulate optimal combinations of factor and security portfolios, using the largest 1,000 common stocks in the US equity market from 1968 to 2015.

Company: CFA
Date added: 02-02-2017
Sector: Multi Asset

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Schroders - What would helicopter money mean for markets?

The Multi-Manager View: the team looks at one of the next possible policy weapons in the monetary arsenal - helicopter money - and considers its market implications.

 

Company: Schroders
Date added: 13-06-2016
Sector: Multi Asset

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Aberdeen - Multi-Asset: Time to Diversify

In the eyes of many investors, bonds and equities enjoy a domestic relationship much like the man and woman in a traditional Alpine weather house. The female figure comes out with a sunshade when it’s dry, while the man comes out with a macintosh when it looks set to rain – and they are never out of the house at the same time.

Company: Aberdeen
Date added: 07-01-2016
Sector: Multi Asset

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Legg Mason - Multi asset solutions

We offer three multi-asset funds designed to help investors achieve their financial goals – “Conservative”, “Balanced” and “Performance”. For greater flexibility, each portfolio has the option of a euro or US dollar share class.

Company: Legg Mason
Date added: 01-12-2015
Sector: Multi Asset

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UBS Asset Management - The New Global Context – Could economic transformations threaten stability? WEF 2015

The white paper for the World Economic Forum Annual Meeting 2015 in Davos (Switzerland), draws on analysis from across UBS to tackle the central theme of the Annual Meeting – The New Global Context faced by the world economy this year and beyond. The paper includes a foreword by Axel Weber, Chairman of the Board of Directors and Sergio P. Ermotti, Group Chief Executive Officer, as well as contributions from Andreas Koester in the Multi Asset team.

Company: UBS
Date added: 01-01-2015
Sector: Multi Asset

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UBS Asset Management - The New Global Context – Could economic transformations threaten stability? WEF 2015

The white paper for the World Economic Forum Annual Meeting 2015 in Davos (Switzerland), draws on analysis from across UBS to tackle the central theme of the Annual Meeting – The New Global Context faced by the world economy this year and beyond. The paper includes a foreword by Axel Weber, Chairman of the Board of Directors and Sergio P. Ermotti, Group Chief Executive Officer, as well as contributions from Andreas Koester in the Multi Asset team.

Company: UBS
Date added: 01-01-2015
Sector: Multi Asset

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