Mean-Variance Assumptions: An Introduction
This paper describes our approach to developing input assumptions for use in mean-variance analysis. Appendices cover the weaknesses of other approaches, as well as taxable considerations.
Research Publications Archive
Comparative Debt Issuance Practices
This survey-based report provides information on the general characteristics of clients’ outstanding debt, including tax status, interest rate type, sources used for debt service, credit enhancements, and plans for refinancing or new issuance.
Pension De-Risking in a Low-Rate Environment—A Better Solution
After assessing the current environment of extremely low interest rates and its implications for defined benefit plans, we articulate our view on how to develop a flexible de-risking framework that takes into account today’s low yields. We contrast this to the more formulaic and mechanical “glide path” concept advocated by many pension industry participants. Defined…
CA Perspectives: Spring 2013
In this issue Portfolio insights investors can gain from our Risk Allocation Framework New resources in the energy sector that are creating potential investment opportunities Two common avenues that families often take for meeting their philanthropic goals Client profile: Woods Hole Oceanographic Institution
Australia: Steady as She Goes
For 2013, Australian equities look vulnerable in the near term, but still appear attractive relative to fixed income. While we are more cautious than the consensus, we suggest investors maintain neutral allocations to risk assets and keep the ship “steady as she goes.”
The Cash Is Not What It Seems
A closer look at the mounting cash on corporate balance sheets reveals more questions than answers as to how it may benefit shareholders.
From Asset Allocation to Risk Allocation: The Risk Allocation Framework
The most recent step in the evolution of portfolio construction practices has been a shift from an asset allocation-centered process to a more comprehensive risk allocation-based process. In this paper, published February 2013, we share our views on why asset allocation has developed into risk allocation and provide an introduction to the Risk Allocation Framework.
Dim Sum Bonds – Still Just an Appetizer
While the dim sum bond market has grown rapidly and there are good reasons to expect it to provide investment opportunities in the future, we do not presently advocate a direct allocation to dim sum bonds given issues such as size, illiquidity, lack of transparency, and governance.
The Tug of War Continues
The tug of war between deflationary forces and monetary stimulus continues. After rallying strongly in 2012 on the back of expectations for declining macro risk and a rebound in earnings and profit growth, these expectations must be delivered upon for the market to continue to rally. We remain neutral on risky assets today.
Investment Manager Fees
The Investment Manager Fees report is an examination of average fees for long-only managers in our database, as well as fees and terms for select hedge fund managers for which we have data.