Strategic Asset Allocation in Fixed-Income Markets

2012 ◽  
Keyword(s):  
Asset Allocation ◽  
Fixed Income ◽  
Strategic Asset Allocation ◽  
Fixed Income Markets

Asset allocation in Finnish pension funds

2006 ◽  
Vol 5 (1) ◽  
pp. 27-44 ◽  
Author(s):  
NOORA ALESTALO ◽  
VESA PUTTONEN
Keyword(s):  
Asset Allocation ◽  
International Comparisons ◽  
Pension Funds ◽  
Defined Benefit ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
Strategic Asset Allocation ◽  
Liability Structure ◽  
Asset Allocations ◽  
Mean Variance

This paper empirically examines the strategic asset allocation and the asset/liability issues in the Finnish defined benefit pension funds. The results indicate that there is a relationship between the liability structure and the asset allocation. While pension funds with younger participants have more equity exposure, more mature pension funds have more fixed income investments.Wide dispersion in asset allocations is also found between the funds. One fund holds its entire portfolio in fixed income securities, whereas other funds have none or only few fixed income holdings. Equity investments also vary dramatically, ranging from 0% to over 70% of the asset allocation. The same applies to investments in a sponsor, real estate investment, and money market investments. A portion of these different asset allocations is explained by the liability structure, but another part remains unexplained. The other variables affecting strategic asset allocation of a pension fund are not obvious, but they could include factors such as regulatory environment, historical reasons, mean-variance optimization instead of ALM, sponsor's own preferences or pension fund's irrationality. Analyzing these factors would be a fruitful topic for further research. Additionally, international comparisons would be a fruitful topic for further investigation.

Asset Allocation Strategies and Commodities

2018 ◽  
Author(s):  
Claudio Boido
Keyword(s):  
Asset Allocation ◽  
Asset Management ◽  
Central Banking ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
Asset Classes ◽  
Alternative Beta ◽  
Asset Managers ◽  
Selection Of ◽  
Allocation Strategies

As a result of the financial crisis of 2007–2008 and subsequent central banking decisions, the asset management industry changed its asset allocation choices. Asset managers are focusing their attention on the search for new asset classes by taking advantage of the new opportunities to capture risk premia with the aim of exceeding the returns given by traditional investments, including traded equities, fixed income securities, and cash. By doing so, they are trying to improve the selection of alternative assets, such as commodities that sometimes have relatively low correlations with traditional assets. The chapter begins by describing the principles of asset allocation, distinguishing between passive and active asset allocation, also focusing on beta and alternative beta. It then concentrates on how investors can gain exposure to commodities through different investment vehicles and strategies.

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