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.
Investment Planning
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…
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.
Introduction to Activist Investing
This report provides an overview of activist investing and also addresses the role of activist funds in investor portfolios and the associated risks of the investment strategy.
The U.K. Social Investment Market: The Current Landscape and a Framework for Investor Decision Making
This report discusses the landscape of the U.K. social investment market, with a focus on impact investing; reviews the barriers to the growth of the market and potential solutions; and outlines a decision-making framework to help investors evaluate and implement social investments within a diversified investment portfolio. While this report is focused on the social…
Failure to Raise the U.S. Debt Ceiling: Implications for Investors
This short piece communicates our position on the investment implications of the standoff on the US debt ceiling.
Pension Risk Management
Asset management and investment banking firms across the globe continue to develop a variety of liability driven investing (LDI)–focused products and solutions for the pension plan community; however, there remains broad confusion over the meaning of LDI. While most of these products and customized solutions attempt to hedge liability-related interest rate and inflation risks, such…
Dodd-Frank’s Impact on Alternative Investments: A Brief Review
This paper highlights key provisions of the major U.S. financial act signed into law in July 2010, focusing on issues related to alternative investments and managers. With more than 60 mandated federal studies due over the next several years and at least 200 new regulations that have yet to be written, the final regulatory landscape…
The Sober Future of Endowment Spending
Given that the global economic outlook is highly uncertain and valuations are not particularly cheap, we once again find ourselves in the role of urging institutions to develop spending contingency plans now, to prepare for the day when their spending policy may dictate cuts, as opposed to being forced to make such decisions hastily, under…
Reflections on a Decade
Even as we focus on the investment challenges of the new decade, it is useful to consider the past ten years. This report briefly covers the performance of various asset classes in the 2000s before delving into lessons learned and observations relevant in the years ahead.