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Should commodities be included in an
endowment's portfolio? How do we quantify risk
tolerance? If the efficient market hypothesis is wrong,
can we beat the market? What are the current valuation
trends in capital markets? The Winter (Q1) 2007 issue
answers these questions and more. |
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The premier issue of the Asset
Allocation Advisor covers a complete introduction and
review of the inputs for traditional asset allocation
through mean-variance optimization. The premier issue of the Advisor is available online
(in a low resolution pdf) Articles
from past issues appear from time to time as an
Article of the Week.
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ASSET ALLOCATION ADVISOR PAST ISSUES
Copies of past issues, if available, may be
purchased for $25 per copy. Please call the editorial
office at 860.570.0270 to order.
FIRST QUARTER 2007 ISSUE
In this issue of the Asset Allocation Advisor you’ll find:
- The View from the Land of Steady Habits
Why the efficient market hypothesis is
wrong and why we still can’t beat the market
- Capital Markets Outlook
Bond market expectations of a soft
landing and falling short-term rates
U.S. stock market P/E multiples increase
Slower earnings growth projected for the UK and euro
area stocks
REIT valuations increase significantly
- Commodities as an Asset Class
Expected returns
- Quantifying Risk Tolerance, Part I
How to quantify an organization’s
tolerance for variable endowment returns
- The Optimally Risky Portfolio
The role of commodities in the optimal
asset allocation
- Asset Allocation: the Art and Science
Improving on Markowitz mean variance
optimization to handle the uncertainty of projected
returns, risks, and correlations.
PREMIER ISSUE: FOURTH QUARTER 2006In the premier issue of the Asset Allocation Advisor
you’ll find:
- Market outlooks for U. S. and international
capital markets with total return projections for
sixteen classes ranging from large-cap U. S. stocks to
real estate to foreign bonds,
- Historical return data on sixteen asset classes,
- A review of the historical and projected
variability of asset class returns and how those
returns are projected to be correlated among each
other,
- The optimally diversified portfolio – with and
without venture capital – and its projected risk and
return;
Plus:
- An editorial on why endowment managers and
trustees need to focus on asset allocation, and
- A discussion of the art and science to
mean-variance optimization.
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West Hartford