Managing Risks in a Multi-Asset, Multi-Manager Portfolio

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "Managing Risks in a Multi-Asset, Multi-Manager Portfolio"

Transcription

1 Managing Risks in a Multi-Asset, Multi-Manager Portfolio Presented by: Mary Jane Bobyock, CFA, Director, Advisory Team Rob Ludwig, Managing Director, Risk Management Group

2 Risk management at multiple levels Client Strategic Risk Management FUNDS MANAGERS SECURITIES 2

3 Risk management analysis at multiple levels Manager Level Analysis Metric Description Frequency Security Level Holdings Analysis Access to portfolio holdings Daily Tracking error Aggregates risk from all active exposures relative to a benchmark Weekly Manager contribution to risk Measures how the active risk budget is allocated Weekly Manager risk-adjusted return Provides an objective measure of manager alpha Monthly Portfolio Level Analysis Metric Description Frequency VaR model integrity Compare manager return forecast with results Daily Portfolio benchmark-relative Controls tracking error by setting limits on relative exposures Daily exposure guidelines Counterparty risk Monitors exposure to dealers from OTC derivative transactions Daily Relative value at risk Identifies excessive risk-taking relative to benchmark Daily Cover Measures the amount of capital in excess of the liabilities created Daily by derivative exposures Tracking error Aggregates risk from all active exposures relative to a benchmark Weekly Stress testing Uses stress scenarios to identify non-linear behavior Monthly This chart illustrates the type and frequency of reports and analysis that SEI has available to monitor risk at the manager and portfolio level. Specific risk management protocols may vary depending on the manager or portfolio and may be customized for particular clients. 3

4 Portfolio design: Strategic alpha source allocation Manager/portfolio Target Weight Tracking error Manager 1 30% 5.0% Alpha source Risk Premium Target risk contribution 25% Manager 2 35% 4.0% Selection 25% Manager 3 15% 8.5% Momentum 25% Manager 4 20% 6.5% Macro 25% Portfolio 100% 3.0% 100% 100% SEI establishes relative return and risk expectations for the portfolio over the medium and long term in a Portfolio Thesis The Thesis identifies which alpha sources will be included and their long-term strategic allocation Through allocations to differentiated managers, SEI seeks to construct portfolios with lower relative risk than the individual underlying investment managers Alpha is additive while volatility (tracking error) can be dampened through diversification (lowly correlated alpha sources) Strategic allocations provide a framework for active manager allocation or sizing For illustrative purposes only 4

5 Manager contribution to risk Prevent one manager s performance from dominating fund performance Control fund level risk by limiting manager percentage contribution to total risk Manager risk contribution determined by volatility and correlation to other managers Risk Limit For illustrative purposes only. 5

6 Internal oversight and state-of-the-art risk management tools provide continuous management of risks at all levels Risk Management SEI Investment Management Unit Investment Strategy Oversight Committee (ISO) Investment Strategy Portfolio Strategy Equities Income Alternatives Our ISO Committee provides independent review and oversight of all investment decisions We have made a significant investment in an enterprise risk management system to proactively monitor risk across asset classes and the total client portfolio Well-defined policies and procedures enforce discipline to defined risk parameters Processes prevent a single manager from dominating the risk of a multi-manager portfolio Stress testing is used to reveal non-linear behavior from large changes to risk factor 6

7 Risk management for multi-asset portfolios Asset allocation strategy is designed to achieve long-term client objectives Uses long-term risk, return and correlation forecasts Asset allocation is relatively static Implementation with active management seeks to add excess return or lower risk over shorter-term horizons Active security selection creates dynamic exposures Dynamic asset allocation creates deviations from long-term policy Asset class correlations are not static Risk management monitors that the active implementation supports the long-term asset allocation strategy 7

8 Risk model explains the variability of individual security returns in terms of systematic factors Equity Factors Market risk Country Industry Style factors Fundamental factors Income Factors Yield curve (by country) Credit spreads (by country, industry) Foreign exchange Inflation Over 2,000 risk factors Factor model creates an intuitive view of risk Alternatives Factors Hedge Funds Real Estate Private Equity Equity market risk Property type Deal type Equity sectors Leverage Size Country Geography Stage Yield curve Vintage Credit Concentration Commodities Geography Currency Style Factor model reduces the number of parameter estimates and improves robustness 8

9 Correlation matrix of risk factors Multi-asset risk management system provides an integrated view across equities, fixed income and alternatives Risk Factors Equities Risk Factors Income Alternatives 9

10 Correlation matrix of risk factors Multi-asset risk management system provides an integrated view across equities, fixed income and alternatives Risk Factors Equities Equities Risk Factors Equities Income Alternatives 10

11 Correlation matrix of risk factors Multi-asset risk management system provides an integrated view across equities, fixed income and alternatives Risk Factors Equities Equities Risk Factors Equities Income Alternatives Alternatives Alternatives 11

12 Correlation matrix of risk factors Multi-asset risk management system provides an integrated view across equities, fixed income and alternatives Risk Factors Equities Equities Equities Alternatives Risk Factors Equities Income Alternatives Equities Alternatives Alternatives Alternatives 12

13 Calculating portfolio risk with a factor model Contribution to risk of each security is determined by: Weight of each security in the portfolio Exposure of each security to each risk factor Covariance matrix of the risk factors We can aggregate securities to calculate: Contribution to risk from each factor Contribution to risk from each manager Contribution to risk from each asset class Total portfolio risk Tracking error relative to benchmark 13

14 U.S. Managed Volatility Strategy: Contribution to risk by factor Risk Group Risk Contribution (%) Equity Risk 9.41 Market Risk Volatility Momentum Size 0.11 Value 0.10 Liquidity 0.17 Growth 0.03 Dividend Yield Other Factors Foreign Exchange 0.06 Total 9.47% Information as of 4/30/

15 Risk decomposition of moderate volatility hedge fund Spread Risk Decomposition Risk Group Total Risk Decomposition Risk Contribution (%) Hedge Fund Equity 3.47 Hedge Fund Spreads 1.29 Hedge Fund Rates 0.11 Hedge Fund Style 0.07 Total 4.94% Risk Group Hedge Fund - Spreads Risk Contribution (%) ABS 0.01 Commercial Mortgage 0.13 Corporate Credit 0.45 Residential Mortgage 0.36 Capital Structure Loans 0.0 U.S. Credit 0.34 Total 1.29% Information as of 4/30/

16 Actual portfolio implementation reflects active view and current market conditions Strategic asset allocation for a sample client portfolio Asset Class Allocation (%) Global Equities 40 Income 26 Inflation-Sensitive 9 Hedge Funds 10 Real Assets 10 Dynamic Allocation 5 Expected Risk 12.5% Risk decomposition of a sample client portfolio implementation Risk Group Risk Contribution (%) Equity 4.84 Alternative 1.34 Foreign Exchange 0.31 Spreads 0.30 Inflation 0.02 Rates Total Risk 6.8% 16

17 Current environment: Volatility is low 17

18 Total portfolio exposures to higher yielding fixed income sectors in sample client portfolio High Yield Corporate Bank Loans Non-Agency Mortgages CMBS CDO / CLO 0% 2% 4% 6% Portfolio Exposure 18

19 Stress testing exposures to higher yielding fixed income sectors in sample client portfolio One Sigma Shock to High Yield Credit Spreads* Factor Shock High yield spreads +70 bps U.S. Treasury 10 year rate -31 bps Investment grade spreads +20 bps VIX +6.4% S&P % World equity ex-u.s. -9.3% *Implied shocks to other risk factors based on correlation matrix. 19

20 Stress test results for high yield credit shock on sample client portfolio Total Return Impact Equity Market Exposure Alternatives / Credit Return Impact (%) 20

21 Portfolio comparison Barclays Aggregate 20.0% 80/20 Passive Portfolio Core Prop 7.0% Diversified Portfolio Private Assets 5.0% Structured Credit 5.0% Large Cap 9.0% S&P 500 Index 7.0% Extended Markets Index 3.0% Special Sits 8.0% Small Cap 2.0% MARR 8.0% World Equity ex-us 12.0% S&P 500 Index 80.0% Oppt Income 3.0% Barclays Aggregate 0 US Core 10.0% EM Debt 6.0% DAA 5.0% High Yield 7.0% EM Equity 3.0% 80/20 Passive Portfolio Diversified Portfolio Compound Return 6.6% 8.0% Risk 15.6% 12.5% Sharpe Ratio Poor Scenario Return -15.9% -10.6% *Gross of Fees Illustrations shown are based on capital market assumptions; see disclosure at end of presentation for additional details 21

22 VAR Analysis of $100 million portfolio May 31, 2014 Undiversified Risk Diversified Risk Alternative Inflation FX Interest Rates Spread Equity $5,000, $- $(5,000,000.00) $(10,000,000.00) $(15,000,000.00) $(20,000,000.00) $(25,000,000.00) $- $1,000, $2,000, $3,000, $4,000, $5,000, $6,000, $7,000, $8,000, $9,000, $10,000, % 10 Yr Treas Hypothetical Inflation Fed Tapering Tech Bubble -10% Equity VIX jumps to 35 Source: Blackrock Portfolio Risk Tools, SEI Investment Management Unit. Risk defined as standard deviation. 80/20 Passive Portfolio Diversified Portfolio 22

23 Don t try this at home 23

24 Important Information This presentation is provided by SEI Investments Management Corporation (SIMC), a registered investment adviser and wholly owned subsidiary of SEI Investments Company. The material included herein is based on the views of SIMC. Statements that are not factual in nature, including opinions, projections and estimates, assume certain economic conditions and industry developments and constitute only current opinions that are subject to change without notice. Nothing herein is intended to be a forecast of future events, or a guarantee of future results. This presentation should not be relied upon by the reader as research or investment advice (unless SIMC has otherwise separately entered into a written agreement for the provision of investment advice). There are risks involved with investing including loss of principal. There is no assurance that the objectives of any strategy or fund will be achieved or will be successful. No investment strategy, including diversification, can protect against market risk or loss. Current and future portfolio holdings are subject to risk. Past performance does not guarantee future results. For those SEI funds which employ a multi-manager structure, SIMC is responsible for overseeing the sub-advisers and recommending their hiring, termination, and replacement. References to specific securities, if any, are provided solely to illustrate SIMC s investment advisory services and do not constitute an offer or recommendation to buy, sell or hold such securities. Certain economic and market information contained herein has been obtained from published sources prepared by other parties, which in certain cases have not been updated through the date hereof. While such sources are believed to be reliable, neither SEI nor its affiliates assumes any responsibility for the accuracy or completeness of such information and such information has not been independently verified by SEI. 24

25 Important Information SIMC develops forward-looking, long-term capital market assumptions for risk, return, and correlations for a variety of global asset classes, interest rates, and inflation. These assumptions are created using a combination of historical analysis, current market environment assessment and by applying our own judgment. In certain cases, alpha and tracking error estimates for a particular asset class are also factored into the assumptions. We believe this approach is less biased than using pure historical data, which is often biased by a particular time period or event. The asset class assumptions are aggregated into a diversified portfolio, so that each portfolio can then be simulated through time using a monte-carlo simulation approach. This approach enables us to develop scenarios across a wide variety of market environments so that we can educate our clients with regard to the potential impact of market variability over time. Ultimately, the value of these assumptions is not in their accuracy as point estimates, but in their ability to capture relevant relationships and changes in those relationships as a function of economic and market influences. The projections or other scenarios in this presentation are purely hypothetical and do not represent all possible outcomes. They do not reflect actual investment results and are not guarantees of future results. All opinions and estimates provided herein, including forecast of returns, reflect our judgment on the date of this report and are subject to change without notice. These opinions and analyses involve a number of assumptions which may not prove valid. The performance numbers are not necessarily indicative of the results you would obtain as a client of SIMC. We believe our approach enables our clients to make more informed decisions related to the selection of their investment strategies. For more information on how SIMC develops capital market assumptions, please refer to the SEI paper entitled Executive Summary: Developing Capital Market Assumptions for Asset Allocation Modeling. If you would like further information on the actual assumptions utilized, you may request them from your SEI representative. Prepared for use at the SEI 2014 Nonprofit Client Symposium, June 19-20,

SEI s Approach to Asset Allocation

SEI s Approach to Asset Allocation SEI s Approach to Asset Allocation Presented by: Jim Smigiel Managing Director and Portfolio Manager Portfolio Strategies Group What is diversification? Sharpe ratio? Peak Sharpe Ratio Loss of efficiency:

More information

Current Trends in Foundation Portfolio Allocation

Current Trends in Foundation Portfolio Allocation Current Trends in Foundation Portfolio Allocation SECF 2015 Investment Conference Heather Myers, Managing Director Mary Jane Bobyock, CFA, Managing Director Nonprofits November 11, 2015 Discussion Topics

More information

seic.com/institutions

seic.com/institutions Nonprofit Management Research Panel Liquidity Pool Management for U.S. Colleges and Universities Gain a better understanding of your school s financial risks and the benefits of integrating the investment

More information

The Coming Volatility

The Coming Volatility The Coming Volatility Lowell Bolken, CFA Vice President and Portfolio Manager Real estate Securities June 18, 2015 www.advantuscapital.com S&P 500 Percent Daily Change in Price September 2008 to April

More information

NorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com

NorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com NorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment management, specializing in quantitative research

More information

Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients

Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients www.mce-ama.com/2396 Senior Managers Days 4 www.mce-ama.com 1 WHY attend this programme? This

More information

Distribution-Focused Strategies A cash flow strategy for retirement

Distribution-Focused Strategies A cash flow strategy for retirement Distribution-Focused Strategies A cash flow strategy for retirement Designed by advisors to meet the need for steady cash flows in retirement with extensive flexibility and control all with low costs.

More information

CFA Institute Contingency Reserves Investment Policy Effective 8 February 2012

CFA Institute Contingency Reserves Investment Policy Effective 8 February 2012 CFA Institute Contingency Reserves Investment Policy Effective 8 February 2012 Purpose This policy statement provides guidance to CFA Institute management and Board regarding the CFA Institute Reserves

More information

EQUITY INVESTMENT IN REAL ESTATE THROUGH LISTED REITS

EQUITY INVESTMENT IN REAL ESTATE THROUGH LISTED REITS Your Fund s Real Estate Investments: Approaches for Today s Market and a Better Tomorrow EQUITY INVESTMENT IN REAL ESTATE THROUGH LISTED REITS National Association of Real Estate Investment Trusts REITs:

More information

Multi-Factor Risk Attribution Concept and Uses. CREDIT SUISSE AG, Mary Cait McCarthy, CFA, FRM August 29, 2012

Multi-Factor Risk Attribution Concept and Uses. CREDIT SUISSE AG, Mary Cait McCarthy, CFA, FRM August 29, 2012 Multi-Factor Risk Attribution Concept and Uses Introduction Why do we need risk attribution? What are we trying to achieve with it? What is the difference between ex-post and ex-ante risk? What is the

More information

ALTERNATIVE INVESTMENTS: MYTHS & MISCONCEPTIONS

ALTERNATIVE INVESTMENTS: MYTHS & MISCONCEPTIONS ALTERNATIVE INVESTMENTS: MYTHS & MISCONCEPTIONS Many investors mistakenly think of alternative investments as being only for ultra-high-net-worth individuals and institutions. However, due to a number

More information

The timeless (and timely) case for high-yield bonds

The timeless (and timely) case for high-yield bonds EATON VANCE TOPIC PAPER MAY 2016 The timeless (and timely) case for high-yield bonds Michael Weilheimer, CFA Director High-Yield Investments Steve Concannon Portfolio Manager High-Yield Investments Jeff

More information

Market Risk Capital Disclosures Report. For the Quarter Ended March 31, 2013

Market Risk Capital Disclosures Report. For the Quarter Ended March 31, 2013 MARKET RISK CAPITAL DISCLOSURES REPORT For the quarter ended March 31, 2013 Table of Contents Section Page 1 Morgan Stanley... 1 2 Risk-based Capital Guidelines: Market Risk... 1 3 Market Risk... 1 3.1

More information

Institutional Group Fixed Income for Nonprofits Strategies to consider in a rising rate, low return environment

Institutional Group Fixed Income for Nonprofits Strategies to consider in a rising rate, low return environment Institutional Group Fixed Income for Nonprofits Strategies to consider in a rising rate, low return environment Following over 30 years of a secular bull market in bonds, the recent sharp rise in interest

More information

Jornadas Economicas del Banco de Guatemala. Managing Market Risk. Max Silberberg

Jornadas Economicas del Banco de Guatemala. Managing Market Risk. Max Silberberg Managing Market Risk Max Silberberg Defining Market Risk Market risk is exposure to an adverse change in value of financial instrument caused by movements in market variables. Market risk exposures are

More information

De-Risking Solutions: Low and Managed Volatility

De-Risking Solutions: Low and Managed Volatility De-Risking Solutions: Low and Managed Volatility NCPERS May 17, 2016 Richard Yasenchak, CFA Senior Vice President, Client Portfolio Manager, INTECH FOR INSTITUTIONAL INVESTOR USE C-0416-1610 12-30-16 AGENDA

More information

SUMMARY PROSPECTUS SIPT VP Conservative Strategy Fund (SVPTX) Class II

SUMMARY PROSPECTUS SIPT VP Conservative Strategy Fund (SVPTX) Class II April 30, 2016 SUMMARY PROSPECTUS SIPT VP Conservative Strategy Fund (SVPTX) Class II Before you invest, you may want to review the Fund s Prospectus, which contains information about the Fund and its

More information

Asset Management Portfolio Solutions Disciplined Process. Customized Approach. Risk-Based Strategies.

Asset Management Portfolio Solutions Disciplined Process. Customized Approach. Risk-Based Strategies. INSTITUTIONAL TRUST & CUSTODY Asset Management Portfolio Solutions Disciplined Process. Customized Approach. Risk-Based Strategies. As one of the fastest growing investment managers in the nation, U.S.

More information

Defensive equity. A defensive strategy to Canadian equity investing

Defensive equity. A defensive strategy to Canadian equity investing Defensive equity A defensive strategy to Canadian equity investing Adam Hornung, MBA, CFA, Institutional Investment Strategist EXECUTIVE SUMMARY: Over the last several years, academic studies have shown

More information

Managing Risk/Reward in Fixed Income

Managing Risk/Reward in Fixed Income INSIGHTS Managing Risk/Reward in Fixed Income Using Global Currency-Hedged Indices as Benchmarks In the pursuit of alpha, is it better to use a global hedged or unhedged index as a benchmark for measuring

More information

Unconstrained Fixed Income: One Asset Manager s Perspective HIMCO Webinar

Unconstrained Fixed Income: One Asset Manager s Perspective HIMCO Webinar Unconstrained Fixed Income: One Asset Manager s Perspective HIMCO Webinar October 1, 2014 14-0408 Unconstrained Fixed Income: One Asset Manager s Perspective Presenters Christopher Zeppieri, CFA Vice President

More information

Envision Full Sample Presentation with Scenarios & Survivor Needs

Envision Full Sample Presentation with Scenarios & Survivor Needs December 06, 2011 Envision Full Sample Presentation with Scenarios & Survivor Needs Prepared for: Jim and Susan Taylor Prepared by: Financial Advisor Wells Fargo Advisors 1 N. Jefferson Ave. St. Louis,

More information

Porter, White & Company

Porter, White & Company Porter, White & Company Optimizing the Fixed Income Component of a Portfolio White Paper, September 2009, Number IM 17.2 In the White Paper, Comparison of Fixed Income Fund Performance, we show that a

More information

SmartRetirement Mutual Fund Commentary

SmartRetirement Mutual Fund Commentary SmartRetirement Mutual Fund Commentary J.P.Morgan Asset Management 3 rd Quarter 2014 Performance Highlights SmartRetirement s Performance Objectives The JPMorgan SmartRetirement Mutual Funds are designed

More information

Good Practice Checklist

Good Practice Checklist Investment Governance Good Practice Checklist Governance Structure 1. Existence of critical decision-making bodies e.g. Board of Directors, Investment Committee, In-House Investment Team, External Investment

More information

McKinley Capital U.S. Equity Income Prospects for Performance in a Changing Interest Rate Environment

McKinley Capital U.S. Equity Income Prospects for Performance in a Changing Interest Rate Environment March 25, 2014 McKinley Capital U.S. Equity Income Prospects for Performance in a Changing Interest Rate Environment This paper analyzes the historic performance of the McKinley Capital Management, LLC

More information

Navigating Rising Rates with Active, Multi-Sector Fixed Income Management

Navigating Rising Rates with Active, Multi-Sector Fixed Income Management Navigating Rising Rates with Active, Multi-Sector Fixed Income Management With bond yields near 6-year lows and expected to rise, U.S. core bond investors are increasingly questioning how to mitigate interest

More information

Amended as of June 23, 2015

Amended as of June 23, 2015 THE WALLACE FOUNDATION INVESTMENT POLICY Amended as of June 23, 2015 1. INVESTMENT GOAL The investment goal of The Wallace Foundation (the Foundation) is to earn a total return that will provide a steady

More information

Investment Information

Investment Information Investment Information The Miami Foundation offers an exceptional selection of investment pools that you may choose from. Each pool is carefully constructed and diversified to meet a range of philanthropic

More information

Modernizing Portfolio Theory & The Liquid Endowment UMA

Modernizing Portfolio Theory & The Liquid Endowment UMA Modernizing Portfolio Theory & The Liquid Endowment UMA Michael Featherman, CFA Director of Portfolio Strategies November 2012 Modern Portfolio Theory Definition and Key Concept Modern Portfolio Theory

More information

Diversified Alternatives Index

Diversified Alternatives Index The Morningstar October 2014 SM Diversified Alternatives Index For Financial Professional Use Only 1 5 Learn More indexes@morningstar.com +1 12 84-75 Contents Executive Summary The Morningstar Diversified

More information

NPH Fixed Income Research Update. Bob Downing, CFA. NPH Senior Investment & Due Diligence Analyst

NPH Fixed Income Research Update. Bob Downing, CFA. NPH Senior Investment & Due Diligence Analyst White Paper: NPH Fixed Income Research Update Authored By: Bob Downing, CFA NPH Senior Investment & Due Diligence Analyst National Planning Holdings, Inc. Due Diligence Department National Planning Holdings,

More information

2016 Comprehensive Capital Analysis and Review

2016 Comprehensive Capital Analysis and Review BMO Financial Corp. and BMO Harris Bank N.A. 206 Comprehensive Capital Analysis and Review Dodd-Frank Act Company-Run Stress Test Supervisory Severely Adverse Scenario Results Disclosure June 23, 206 Overview

More information

Investing in Alternatives. Help optimize your portfolio with non-traditional solutions.

Investing in Alternatives. Help optimize your portfolio with non-traditional solutions. Investing in Alternatives. Help optimize your portfolio with non-traditional solutions. Eagle Strategies LLC is an investment adviser registered with the Securities and Exchange Commission and is notice

More information

CI LifeCycle Portfolios

CI LifeCycle Portfolios Portfolios Portfolios Portfolios are sophisticated multi-asset class, multi-manager target date retirement funds offered exclusively by CI Institutional Asset Management as an option for pension plan sponsors

More information

A Solution for Yield-Starved Insurance Companies: Dividend Equities

A Solution for Yield-Starved Insurance Companies: Dividend Equities August 2015 A Solution for Yield-Starved Insurance Companies: Dividend Equities Federal Reserve efforts to normalize monetary policy are unlikely to provide meaningful relief for yield-starved insurance

More information

An Attractive Income Option for a Strategic Allocation

An Attractive Income Option for a Strategic Allocation An Attractive Income Option for a Strategic Allocation Voya Senior Loans Suite A strategic allocation provides potential for high and relatively steady income through most credit and rate cycles Improves

More information

GIPS List of Composite Descriptions. Perkins Composites...11. Fixed Income Composites... 14. Global Macro Composites...19. Alternative Composites...

GIPS List of Composite Descriptions. Perkins Composites...11. Fixed Income Composites... 14. Global Macro Composites...19. Alternative Composites... GIPS List of Composite Descriptions Updated 6/4/2015 Janus Equity Composites...2 Perkins Composites....11 Fixed Income Composites... 14 Global Macro Composites...19 Alternative Composites.....19 Allocation

More information

Capital preservation strategy update

Capital preservation strategy update Client Education Summit 2012 Capital preservation strategy update Head of Institutional Fixed Income Investments, Americas October 9, 2012 Topics for discussion 1 Capital preservation strategies 2 3 4

More information

Meeting economic and regulatory objectives under Solvency II

Meeting economic and regulatory objectives under Solvency II RESEARCH PAPER Meeting economic and regulatory objectives under Solvency II RUDYARD EKINDI, HEAD OF INVESTMENT SOLUTIONS - EQUITIES, UNIGESTION, SPRING 2016 Since the start of 2016, Solvency II has no

More information

Introduction to the XTF Inc. Exchange Traded Funds (ETFs) Ratings Methodology

Introduction to the XTF Inc. Exchange Traded Funds (ETFs) Ratings Methodology Introduction to the XTF Inc. Exchange Traded Funds (ETFs) Ratings Methodology The goal of the XTF Ratings TM methodology is to present an objective, transparent and easy-to-understand framework for investors

More information

MERCER WEBCAST MEETING TODAY S CHALLENGES FOR 401(K) SPONSORS OCTOBER 22, 2014. Liana Magner Amy Reynolds

MERCER WEBCAST MEETING TODAY S CHALLENGES FOR 401(K) SPONSORS OCTOBER 22, 2014. Liana Magner Amy Reynolds MEETING TODAY S CHALLENGES FOR 401(K) SPONSORS OCTOBER 22, 2014 Liana Magner Amy Reynolds Today s speakers Liana Magner, CFA Partner US Delegated DC Leader MERCER W EBCAST Amy Reynolds, ASA Partner US

More information

Sophisticated investments. Simple to use.

Sophisticated investments. Simple to use. Russell LifePoints INSTITUTIONAL TARGET DATE FUNDS Sophisticated investments. Simple to use. INVESTED. TOGETHER. Now your default option can be your best option. If your target date funds are projected

More information

Investment Strategy for Pensions Actuaries A Multi Asset Class Approach

Investment Strategy for Pensions Actuaries A Multi Asset Class Approach Investment Strategy for Pensions Actuaries A Multi Asset Class Approach 16 January 2007 Representing Schroders: Neil Walton Head of Strategic Solutions Tel: 020 7658 2486 Email: Neil.Walton@Schroders.com

More information

Fund Fact Sheet. ExxonMobil Savings Plan

Fund Fact Sheet. ExxonMobil Savings Plan Fund Fact Sheet ExxonMobil Savings Plan ExxonMobil Stock When you buy Exxon Mobil Corporation Common Stock (ExxonMobil stock), you become an ExxonMobil shareholder and an owner of the company. As an owner

More information

New Perspectives on Alternative Investments

New Perspectives on Alternative Investments New Perspectives on Alternative Investments For the Institute and Faculty of Actuaries For professional clients only Introduction Today s speakers and topics are as follows: Ian Kitchenham, BlackRock Alternative

More information

Best Styles: Harvesting Risk Premium in Equity Investing

Best Styles: Harvesting Risk Premium in Equity Investing Strategy Best Styles: Harvesting Risk Premium in Equity Investing Harvesting risk premiums is a common investment strategy in fixed income or foreign exchange investing. In equity investing it is still

More information

Absolute return: The search for positive returns in changing markets

Absolute return: The search for positive returns in changing markets Absolute return: The search for positive returns in changing markets Tuesday, 7 June 2011 Portfolio Manager for Global Fixed Income and Absolute Return Funds www.dbadvisors.com Topics for discussion What

More information

Experience with external active fixed income managers - NBIM

Experience with external active fixed income managers - NBIM Page 1 of 5 Experience with external active fixed income managers This article summarises nearly five years experience with external fixed income managers. During this period, net excess return in relation

More information

A: SGEAX C: SGECX I: SGEIX

A: SGEAX C: SGECX I: SGEIX A: SGEAX C: SGECX I: SGEIX NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE Salient Global Equity Fund The investment objective of the Salient Global Equity Fund (the Fund ) is to seek long term capital

More information

MLC MasterKey Unit Trust Product Disclosure Statement (PDS)

MLC MasterKey Unit Trust Product Disclosure Statement (PDS) MLC MasterKey Unit Trust Product Disclosure Statement (PDS) Preparation date 1 July 2014 Issued by MLC Investments Limited (MLC) ABN 30 002 641 661 AFSL 230705 This information is general and doesn t take

More information

J.P. Morgan Structured Investments

J.P. Morgan Structured Investments July 2012 J.P. Morgan Structured Investments The JPMorgan ETF Efficiente 5 Index Strategy Guide Important Information The information contained in this document is for discussion purposes only. Any information

More information

Adoption of New Policy Asset Mix

Adoption of New Policy Asset Mix Summary (1) Adoption of New Policy Asset Mix Government Pension Investment Fund ( GPIF ) has reviewed its policy asset mix for the third medium-term plan, which starts from April 2015. In June 2014, Ministry

More information

BlackRock Diversa Volatility Control Index *

BlackRock Diversa Volatility Control Index * BlackRock Diversa Volatility Control Index * FOR FIXED INDEX ANNUITIES * Formally known as BlackRock ibld Diversa VC7 ER Index NOT FOR USE IN IOWA FA7363 (2-5) 02545 205 Forethought In order to protect

More information

Unconstrained Fixed Income

Unconstrained Fixed Income Unconstrained Fixed Income A Dynamic and Flexible Approach to Fixed Income Investing 26th ANNUAL TEXPERS CONFERENCE Global Fixed Income & Liquidity Management March 2015 This material is provided for educational

More information

Bond Realities: The Changing Landscape for Fixed Income A Deeper Dive into Opportunistic 2.0. August 2013

Bond Realities: The Changing Landscape for Fixed Income A Deeper Dive into Opportunistic 2.0. August 2013 Bond Realities: The Changing Landscape for Fixed Income A Deeper Dive into Opportunistic 2.0 August 2013 OPENING REMARKS From Uncharted Waters to Spread Normalization Cumulative excess returns from 2007

More information

GLOBAL LISTED INFRASTRUCTURE

GLOBAL LISTED INFRASTRUCTURE JUNE 2016 GLOBAL LISTED INFRASTRUCTURE A Case for Investing Jeremy Anagnos, CFA Chief Investment Officer - Infrastructure INTRODUCTION Listed appeals to investors in many ways. It has a history of attractive

More information

BlackRock Diversified Income Portfolio. A portfolio from Fidelity Investments designed to seek income while managing risk

BlackRock Diversified Income Portfolio. A portfolio from Fidelity Investments designed to seek income while managing risk BlackRock Diversified Income Portfolio A portfolio from Fidelity Investments designed to seek income while managing risk Fidelity Investments has formed a strategic alliance with BlackRock Investment Management,

More information

INVESTING YOUR SUPER. This document forms part of the NGS Super Member Guide (Product Disclosure Statement) dated 14 August 2015

INVESTING YOUR SUPER. This document forms part of the NGS Super Member Guide (Product Disclosure Statement) dated 14 August 2015 This document forms part of the NGS Super Member Guide (Product Disclosure Statement) dated 14 August 2015 INVESTING YOUR SUPER FACT SHEET 5 14 AUGUST 2015 NGS Super offers you flexibility and choice when

More information

Deutsche Alternative Asset Allocation VIP

Deutsche Alternative Asset Allocation VIP Alternative Deutsche Alternative Asset Allocation VIP All-in-one exposure to alternative asset classes : a key piece in asset allocation Building a portfolio of stocks, bonds and cash has long been recognized

More information

Today s bond market is riskier and more volatile than in several generations. As

Today s bond market is riskier and more volatile than in several generations. As Fixed Income Approach 2014 Volume 1 Executive Summary Today s bond market is riskier and more volatile than in several generations. As interest rates rise so does the anxiety of fixed income investors

More information

The active/passive decision in global bond funds

The active/passive decision in global bond funds The active/passive decision in global bond funds Vanguard research November 213 Executive summary. This paper extends the evaluation of active versus passive management to global bond funds. Previous Vanguard

More information

Absolute return investments in rising interest rate environments

Absolute return investments in rising interest rate environments 2014 Absolute return investments in rising interest rate environments Todd White, Head of Alternative Investments Joe Mallen, Senior Business Analyst In a balanced portfolio, fixed-income investments have

More information

Investment Insight Diversified Factor Premia Edward Qian PhD, CFA, Bryan Belton, CFA, and Kun Yang PhD, CFA PanAgora Asset Management August 2013

Investment Insight Diversified Factor Premia Edward Qian PhD, CFA, Bryan Belton, CFA, and Kun Yang PhD, CFA PanAgora Asset Management August 2013 Investment Insight Diversified Factor Premia Edward Qian PhD, CFA, Bryan Belton, CFA, and Kun Yang PhD, CFA PanAgora Asset Management August 2013 Modern Portfolio Theory suggests that an investor s return

More information

COMMUNITY FOUNDATION OF GREATER MEMPHIS, INC. INVESTMENT GUIDELINES FOR MONEY MARKET POOL

COMMUNITY FOUNDATION OF GREATER MEMPHIS, INC. INVESTMENT GUIDELINES FOR MONEY MARKET POOL INVESTMENT GUIDELINES FOR MONEY MARKET POOL discretionary Money Market Pool is expected to pursue their stated investment strategy and follow the investment guidelines and objectives set forth herein.

More information

Single Manager vs. Multi-Manager Alternative Investment Funds

Single Manager vs. Multi-Manager Alternative Investment Funds September 2015 Single Manager vs. Multi-Manager Alternative Investment Funds John Dolfin, CFA Chief Investment Officer Steben & Company, Inc. Christopher Maxey, CAIA Senior Portfolio Manager Steben & Company,

More information

Risk Based Capital Guidelines; Market Risk. The Bank of New York Mellon Corporation Market Risk Disclosures. As of December 31, 2013

Risk Based Capital Guidelines; Market Risk. The Bank of New York Mellon Corporation Market Risk Disclosures. As of December 31, 2013 Risk Based Capital Guidelines; Market Risk The Bank of New York Mellon Corporation Market Risk Disclosures As of December 31, 2013 1 Basel II.5 Market Risk Annual Disclosure Introduction Since January

More information

Glossary of Investment Terms

Glossary of Investment Terms online report consulting group Glossary of Investment Terms glossary of terms actively managed investment Relies on the expertise of a portfolio manager to choose the investment s holdings in an attempt

More information

Moderator Timothy Wilson

Moderator Timothy Wilson Investment Symposium March 2012 P2: Portfolio Construction: Asset Allocation versus Risk/Strategy Buckets Marc Carhart Radu Gabudean Moderator Timothy Wilson Beyond Modern Portfolio Theory Radu C. Gabudean

More information

Draft Prudential Practice Guide

Draft Prudential Practice Guide Draft Prudential Practice Guide SPG 532 Investment Risk Management May 2013 www.apra.gov.au Australian Prudential Regulation Authority Disclaimer and copyright This prudential practice guide is not legal

More information

Investment Services 4 4

Investment Services 4 4 Investment Intelligence Our Philosophy 1 Our philosophy is to provide unbiased top quality investment services and solutions tailored to your individual needs, objectives and risk tolerance based on a

More information

608 RISK BUDGETING AND INVESTMENT MANAGEMENT. Committee on Investments / Investment Advisory Committee August 24, 2006

608 RISK BUDGETING AND INVESTMENT MANAGEMENT. Committee on Investments / Investment Advisory Committee August 24, 2006 608 RISK BUDGETING AND INVESTMENT MANAGEMENT Committee on Investments / Investment Advisory Committee August 24, 2006 AGENDA Measuring Risk Active Risk Budgeting Risk UCRP Risk Budgets How Risk Budgets

More information

BASKET A collection of securities. The underlying securities within an ETF are often collectively referred to as a basket

BASKET A collection of securities. The underlying securities within an ETF are often collectively referred to as a basket Glossary: The ETF Portfolio Challenge Glossary is designed to help familiarize our participants with concepts and terminology closely associated with Exchange- Traded Products. For more educational offerings,

More information

State Farm Bank, F.S.B.

State Farm Bank, F.S.B. State Farm Bank, F.S.B. 2015 Annual Stress Test Disclosure Dodd-Frank Act Company Run Stress Test Results Supervisory Severely Adverse Scenario June 25, 2015 1 Regulatory Requirement The 2015 Annual Stress

More information

RYT Sector Weights. Price Chart

RYT Sector Weights. Price Chart March 11, 2016 GUGGENHEIM SP 500 EQL WEIGHT TECHNOLOGY (RYT) $89.67 Risk: Med Zacks ETF Rank 2 - Buy 2 Fund Type Issuer Technology - broad RYDEXSGI RYT Sector Weights Benchmark Index SP EQUAL WEIGHT INDEX

More information

30% 5% of fixed income mutual funds paid capital gains in 2015

30% 5% of fixed income mutual funds paid capital gains in 2015 FIXED INCOME ETFs: NEW ASSET CLASS, SAME BENEFITS Exchange Traded Funds ( ETFs ) first appealed to equity investors, providing efficient access to the world s stock markets and they have revolutionized

More information

2013 GSAM Insurance Survey & Industry Investment Trends

2013 GSAM Insurance Survey & Industry Investment Trends Global Insurance Asset Management AASCIF Annual Workshop Fall 23 23 GSAM Insurance Survey & Industry Investment Trends Michael Siegel, PhD Global Head of GSAM Insurance Asset Management September 3, 23

More information

Total-Return Investment Pool (TRIP) Asset Allocation & Investment Policy Review and Recommendations

Total-Return Investment Pool (TRIP) Asset Allocation & Investment Policy Review and Recommendations ATTACHMENT 2 Total-Return Investment Pool (TRIP) Asset Allocation & Investment Policy Review and Recommendations May 27, 2015 Office of the Chief Investment Officer Contents For Discussion at Committee

More information

Contents. List of Figures. List of Tables. List of Examples. Preface to Volume IV

Contents. List of Figures. List of Tables. List of Examples. Preface to Volume IV Contents List of Figures List of Tables List of Examples Foreword Preface to Volume IV xiii xvi xxi xxv xxix IV.1 Value at Risk and Other Risk Metrics 1 IV.1.1 Introduction 1 IV.1.2 An Overview of Market

More information

The Many Paths to Real Asset Investing

The Many Paths to Real Asset Investing #InsideAlts The Many Paths to Real Asset Investing MODERATOR Michael D. Underhill Chief Investment Officer Capital Innovations, LLC PANELISTS John Love Portfolio Manager U.S. Commodity Funds Trey Reik

More information

ACF morning workshop. Is your investment committee asking the right questions?

ACF morning workshop. Is your investment committee asking the right questions? ACF morning workshop Is your investment committee asking the right questions? Contents 1. Why would a charity want to consider a total return investment policy? What do we mean by total return? 2. Finding

More information

Risk Budgeting. Northfield Information Services Newport Conference June 2005 Sandy Warrick, CFA

Risk Budgeting. Northfield Information Services Newport Conference June 2005 Sandy Warrick, CFA Risk Budgeting Northfield Information Services Newport Conference June 2005 Sandy Warrick, CFA 1 What is Risk Budgeting? Risk budgeting is the process of setting and allocating active (alpha) risk to enhance

More information

RISK ALLOCATION IN THE 21 ST CENTURY. February 2012. SEATTLE 206.622.3700 LOS ANGELES 310.297.1777 www.wurts.com

RISK ALLOCATION IN THE 21 ST CENTURY. February 2012. SEATTLE 206.622.3700 LOS ANGELES 310.297.1777 www.wurts.com RISK ALLOCATION IN THE 21 ST CENTURY February 2012 SEATTLE 206.622.3700 LOS ANGELES 310.297.1777 www.wurts.com AGENDA INVESTMENT APPROACH SAMPLE RISK DASHBOARD GOVERNANCE 2 INVESTMENT APPROACH 3 WHY DOES

More information

Are Unconstrained Bond Funds a Substitute for Core Bonds?

Are Unconstrained Bond Funds a Substitute for Core Bonds? TOPICS OF INTEREST Are Unconstrained Bond Funds a Substitute for Core Bonds? By Peter Wilamoski, Ph.D. Director of Economic Research Philip Schmitt, CIMA Senior Research Associate AUGUST 2014 The problem

More information

Schroders Investment Risk Group

Schroders Investment Risk Group provides investment management services for a broad spectrum of clients including institutional, retail, private clients and charities. The long term objectives of any investment programme that we implement

More information

Understanding the JPMorgan ETF Efficiente SM 5 Index

Understanding the JPMorgan ETF Efficiente SM 5 Index Fact Sheet Understanding the JPMorgan ETF Efficiente SM 5 Index FAM-1197 3/15 Important Information Disclaimers This document contains important information prepared by Symetra Life Insurance Company (

More information

Structured Products. Designing a modern portfolio

Structured Products. Designing a modern portfolio ab Structured Products Designing a modern portfolio Achieving your personal goals is the driving motivation for how and why you invest. Whether your goal is to grow and preserve wealth, save for your children

More information

Macro Risk Indicator: Our Approach to Managing Risk

Macro Risk Indicator: Our Approach to Managing Risk Macro Risk Indicator: Our Approach to Managing Risk We are commonly asked about the method we use to tilt our Dynamic Asset Allocation (DAA) portfolios between an offensive or defensive stance. Based upon

More information

Effect of Rising Interest Rates on Fixed Income. Dominick DeAlto, Global Head, Multi-Sector Fixed Income

Effect of Rising Interest Rates on Fixed Income. Dominick DeAlto, Global Head, Multi-Sector Fixed Income Effect of Rising Interest Rates on Fixed Income Dominick DeAlto, Global Head, Multi-Sector Fixed Income Effect of Rising Interest Rates on Fixed Income I May 2015 I 2 Why Do Investors Allocate to Fixed

More information

Evaluating Target Date Funds. 2003 2013 Multnomah Group, Inc. All Rights Reserved.

Evaluating Target Date Funds. 2003 2013 Multnomah Group, Inc. All Rights Reserved. 2003 2013 Multnomah Group, Inc. All Rights Reserved. Scott Cameron, CFA Scott is the Chief Investment Officer for the Multnomah Group and a Founding Principal of the firm. In that role, Scott leads Multnomah

More information

Scheduled Distribution Dates for All Goldman Sachs Funds (excluding Money Markets)

Scheduled Distribution Dates for All Goldman Sachs Funds (excluding Money Markets) Scheduled Distribution Dates for All Goldman Sachs Funds (excluding Money Markets) Fixed Income Funds Net Investment Income Capital Gains Goldman Sachs Bond Fund Note 1 Note 2 Goldman Sachs Core Fixed

More information

Diversified Growth Funds & implications for actuarial assumptions

Diversified Growth Funds & implications for actuarial assumptions Diversified Growth Funds & implications for actuarial assumptions Part 1: Actuarial return and discount rate assumptions Subtitle: But Mother, look! The Emperor isn t wearing any clothes! Is it reasonable

More information

Risk Management. Risk Management Overview. Credit Risk

Risk Management. Risk Management Overview. Credit Risk Risk Management Risk Management Overview Risk management is a cornerstone of prudent banking practice. A strong enterprise-wide risk management culture provides the foundation for the Bank s risk management

More information

Item 7A. Quantitative and Qualitative Disclosures about Market Risk. Risk Management

Item 7A. Quantitative and Qualitative Disclosures about Market Risk. Risk Management Item 7A. Quantitative and Qualitative Disclosures about Market Risk. Risk Management Risk Management Policy and Control Structure. Risk is an inherent part of the Company s business and activities. The

More information

INCOME IN ALL MARKETS COLUMBIA STRATEGIC INCOME FUND Class A COSIX Class C CLSCX Class R CSNRX Class R4 CMNRX Class R5 CTIVX Class Z LSIZX

INCOME IN ALL MARKETS COLUMBIA STRATEGIC INCOME FUND Class A COSIX Class C CLSCX Class R CSNRX Class R4 CMNRX Class R5 CTIVX Class Z LSIZX INCOME IN ALL MARKETS COLUMBIA STRATEGIC INCOME FUND Class A COSIX Class C CLSCX Class R CSNRX Class R4 CMNRX Class R5 CTIVX Class Z LSIZX NAVIGATING A CHANGING INTEREST RATE ENVIRONMENT Rise to the challenge

More information

IMPROVING ASSET ALLOCATION WITH FACTOR ANALYSIS

IMPROVING ASSET ALLOCATION WITH FACTOR ANALYSIS IMPROVING ASSET ALLOCATION WITH FACTOR ANALYSIS Mark J. Cintolo, CAIA Research Consultant, Asset The Case for Factor Analysis Determining an investment program s optimal asset allocation requires a robust

More information

THE ROLE OF LIQUID ALTERNATIVES IN WEALTH MANAGEMENT

THE ROLE OF LIQUID ALTERNATIVES IN WEALTH MANAGEMENT HEALTH WEALTH CAREER THE ROLE OF LIQUID ALTERNATIVES IN WEALTH MANAGEMENT SEPTEMBER 2015 In this short paper, we focus on liquid alternative products and will, 1) explain the investment theses for investing

More information

FIXED INCOME INVESTORS HAVE OPTIONS TO INCREASE RETURNS, LOWER RISK

FIXED INCOME INVESTORS HAVE OPTIONS TO INCREASE RETURNS, LOWER RISK 1 FIXED INCOME INVESTORS HAVE OPTIONS TO INCREASE RETURNS, LOWER RISK By Michael McMurray, CFA Senior Consultant As all investors are aware, fixed income yields and overall returns generally have been

More information

Understanding Currency

Understanding Currency Understanding Currency Overlay July 2010 PREPARED BY Gregory J. Leonberger, FSA Director of Research Abstract As portfolios have expanded to include international investments, investors must be aware of

More information