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Forecasting Investment Returns and Expected Return Assumptions for Pension Actuaries
Introduction Pension actuaries select or recommend investment return assumptions for a variety of purposes, including accounting and financial reporting, public and multiemployer funding valuations, and projections of future funding and solvency levels or asset liability modeling. When selecting or recommending
The Overlooked Persistence of Active Outperformance
White Paper With stock markets fueled by extraordinary central bank intervention in the wake of the Global Financial Crisis, passive equity strategies have seen great success in terms of performance, fund flows and press coverage. Often overlooked in the haste
A closer look at swap spreads and their significance – past, present and future
Clients regularly ask us why interest rates are so low and why differences in compensation between categories of fixed-income securities are so large. One example is the atypically high yield difference between interest-rate swaps and German government bonds – the
Global equity investing: The benefits of diversification and sizing your allocation
Regardless of where they live, investors have a significant opportunity to diversify their equity portfolios by investing outside their home market. Despite this opportunity, investors on average have maintained allocations to their home country that have been significantly larger than
Brexit – Next deadline probably April 12
Week Ahead With the British Prime Minister's offer to resign and eight failed votes on possible alternatives to the current divorce package, there was a lot of noise this week, but no progress on the issue. A vote on the
Brexit – Next deadline probably April 12
Week Ahead With the British Prime Minister's offer to resign and eight failed votes on possible alternatives to the current divorce package, there was a lot of noise this week, but no progress on the issue. A vote on the
The Fed: Cutting through the BS
The US central bank moving towards the end of its balance sheet unwind Fed decides on floor system, paving way for balance sheet decision At the January Federal Open Market Committee (FOMC) meeting, the Federal Reserve (Fed) announced that it
Will the “Fed put” be enough to ensure further upside to risky assets?
Allocation Perspective Stocks have rallied this year – MSCI ACWI is up 17% from its late December low – despite lackluster economic growth outside the US. Manufacturing PMIs have fallen to 47.6 in Germany, to 48.9 in Japan, and an
Will the “Fed put” be enough to ensure further upside to risky assets?
Allocation Perspective Stocks have rallied this year – MSCI ACWI is up 17% from its late December low – despite lackluster economic growth outside the US. Manufacturing PMIs have fallen to 47.6 in Germany, to 48.9 in Japan, and an
Cryptocurrency Outlook
Dark Shadows with a Bright Future With cryptocurrencies down sharply in price, many observers seem to assume there’s been an industry-wide decline in usage and practical applications. Nothing could be further from the truth. Leading cryptocurrencies now enjoy three times
Still here…
Britain was supposed to have left the EU today. As you may have noticed, it hasn’t. The future remains uncertain, especially as there will be more political change. The real work will begin once the withdrawal has taken place but
Global Fixed Income Views 2Q 2019
Scenario probabilities (%) Source: J.P. Morgan Asset Management. Views are as of March 21, 2019. MARCH MADNESS Anyone in the U.S., or passing through this time of year, knows all too well about the collegiate basketball spectacle known as March
Accessing the Leading Growth Themes in Technology
Tech companies continue to innovate and disrupt. Exposure to secular growth trends makes the sector less reliant on economic growth. It can be hard to pick just one winner — investing in a basket of companies allows investors to diversify
The Wealth of Nations
Emerging Markets Outlook Emerging markets (EM) have been fast out of the gate in 2019, recalling last year’s strong start and subsequent stumble. While we are constructive on the prospects for EM performance in the year ahead, we think the
Small‑Caps Can Weather European Market Volatility
Innovative Growth Companies Offer Resilient Quality. European equity markets are likely to remain volatile in 2019. Europe is home to many innovative growth companies that could perform well over the medium term.
Groei eurozone zwakt af
De groei van de eurozone-economie zwakt af. Italië bevindt zich in een recessie, terwijl Duitsland deze nipt wist te vermijden. Andere eurolanden, zoals Spanje en Nederland, doen het beter. De binnenlandse bestedingen blijven daar op peil. De ECB zal de
EUR/USD: Low should be reached in Q2
Forex News The latest statements by representatives of the US Federal Reserve mean that we no longer forecast the next interest rate hike for June, but only another hike at the end of the year. Accordingly, we have changed our
EUR/USD: Low should be reached in Q2
Forex News The latest statements by representatives of the US Federal Reserve mean that we no longer forecast the next interest rate hike for June, but only another hike at the end of the year. Accordingly, we have changed our
Unveiling China’s Economic Cycle
Introducing our Economic Cycle Indicator and how we apply it to the current environment The recent deterioration in high-frequency data has reignited concern about the health of the Chinese economy. However, wide divergences between some official data, such as GDP,
The ESRB risk dashboard
Risks to EU financial stability remain a concern, although market-based indicators of systemic stress in the European Union (EU) slightly declined over the past quarter. T
t De vermogensbeheerder voor een wereld in verandering
Het is een beproefd recept voor pensioenfondsen: de beleggingsportefeuille wordt verdeeld in een matching- en rendementsportefeuille. De matchingportefeuille is bedoeld om de verplichtingen af te dekken en de rendementsportefeuille moet voor extra rendement zorgen. Deze tweedeling maakt het vraagstuk van
Dag Eonia en Euribor, hallo ESTER; bent u voorbereid?
Sinds de introductie van de Euro zijn de rentebenchmarks Euribor1 en Eonia2 onlosmakelijk verbonden met de financiële markten. Deze rentes vormen de basis van biljoenen Euro’s aan transacties voor vele financiële producten en spelen een belangrijke rol bij balansbeheer van
Global weekly commentary
Tectonic shifts support tech Innovation has long supported tech companies’ performance. This year is no exception, we believe. Yet meaningful shifts in technology are creating uneven benefits (and drawbacks) within the sector and beyond. As a result, we advocate a
The Silver Tsunami: Can REITs Help You Ride the Wave?
Tim Gibson, Guy Barnard and Greg Kuhl, Portfolio Managers for the Global Property Equities strategy, discuss how REITs can provide a way to capitalize on aging populations.
Finally, something good
The chances for an orderly and reasonably quick resolution to the Brexit drama have gone up. In all the twists and turns of the ongoing Brexit drama, it is all too easy for market observers to overlook important turning points.
A roadmap for defensive investing
Chris discusses defensive portfolio exposures that can create potential buffers to volatility, for when it reappears. While the 2019 market rebound has undone much of the damage from 2018’s year-end drubbing, the brutal selloff offers a key reminder for investors
Global Asset Allocation Views
Recession risk is muted and high frequency data are beginning to trough. Even then, we expect slightly subtrend global growth in 2019, and although the capex cycle should come off its recent lows we do not see the kind of
What’s the BEST managed futures program?
Semi-Annual Managed Futures Rankings We can all see which programs logged the highest return last year, or has the most assets, or sports the largest total lifetime return. But investors care about more than just returns. There’s risk and exposure
Trade Tensions Test China’s Provincial Economies
China’s provincial economies have come under strain as the prolonged trade war between the U.S. and China hampers exports and overall economic activity. Using the Moody’s Analytics model of the global economy and the Moody’s Analytics model of China’s provincial
China-US trade warcraft: an investigative analysis
Investors worldwide hang on every news story detailing the ups and downs of the increasingly tense relationship between the United States and China. While helpful, these updates typically note the ebb and flow of the tide, with little regard for
ESG Integration in Europe, the Middle East, and Africa: Markets, Practices , and Data
Portfolio managers and analysts are increasingly incorporating ESG factors in their investment analyses and processes. However, ESG integration remains in its relative infancy, with investors and analysts calling for more guidance on exactly “how” they can “do ESG” and integrate
China Goes Global: CNY-Denominated Bonds to Enter Major Indices
Strategy Espresso Bloomberg has confirmed that it will add Chinese CNY-denominated bonds to the Global Aggregate, Global Treasury and Emerging Market Local Currency Government indices starting in April 2019. The announcement marks another milestone in opening up and attracting further investment
Emerging market local currency bonds: investing in frontier markets
Investment Insights For many investors, frontier markets remain relatively unexplored. They offer an additional opportunity set to informed investors, but investing in these smaller, less efficient markets also involves a number of unique challenges and risks. In this paper, we
Crowded Trades and Tail Risk
Concentrated positions in investment assets, often referred to as “crowded trades", are increasingly a topic of interest to investors and regulators. The concern centers around self-reinforcing downward price pressure resulting from liquidation of concentrated positions by vulnerable asset owners. But,
2019 OUTLOOK for Frontier Markets
Frontier markets slumped in line with other non-dollar denominated markets in 2018; though outside of Argentina (which fell by -50%), frontier markets as a whole outperformed even the U.S. (see TABLE 1). Almost all of the positive contribution in 2018
When Doves Cry
Weekly digest There an is old proverb that ‘one swallow does not make a summer’, so what should one read into the dole of doves that flew over Washington last week? Without wanting to lean too heavily towards the US
Optimal Allocation in the S&P 600 under Size-Driven Illiquidity
A number of empirical studies have investigated how mutual funds do react to incoming financial resources. As long as liquidity constraints are narrow, fund managers tend to upscale already existing positions without looking for new investment opportunities. Concomitantly, performance of
Persistence and Skill in the Performance of Mutual Fund Families
Prior research has shown that decisions made at fund family level can account for a substantial portion of the performance of the individual active fund managers in the family. The question then arises whether the average fund performance of some
12 april is de deadline voor het VK
Investment Highlights De vertrouwenscijfers in de Verenigde Staten kwamen afgelopen week per saldo iets lager uit dan verwacht, maar zijn nog steeds relatief hoog. In Europa zakte het vertrouwen daarentegen verder weg. De Franse vertrouwenscijfers voor de dienstensector en de
Fed adopts a dovish stance while the UK gears up for another week of Brexit talks
Markets appeared caught in a logic loop after US developments last week. As well as announcing the wind-down of its quantitative tightening programme a little earlier than expected, the Federal Reserve confirmed its dovish outlook at its March Federal Open
How to approach tech investing?
Tech disruption is all the rage. What does it mean for investors interested in the tech sector? Richard shares his thoughts. Tech stocks have been on a tear this year. The rally may have legs, we believe. Disruptive innovations have
