More by the Same Author
2012-06-01 Asset Allocation: Does Macro Matter? Part II by Sebastien Page of PIMCO
We see the conventional, valuation-based approach to asset allocation as akin to looking in the rearview mirror, which may lead to suboptimal investment outcomes when important macroeconomic shifts take place. We believe an econometric framework to assess the impact of shocks to GDP growth and inflation provides the missing link between macroeconomic forecasts and portfolio performance. Investors should constantly complement, review and revise qualitative and quantitative macroeconomic analyses with judgment, experience and a view on current events.
2012-04-03 Beyond Bonds: The Role of Risk Assets in Liability-Driven Investing by Sebastien Page of PIMCO
In liability-driven investing, unless the plan is fully immunized or significant leverage is employed, the bond portfolio only hedges part of the liabilities. Overall, when diversifying across risk assets, there are choices that may be more attractive to pension plans than they are to liability-agnostic investors, such as risk assets with exposure to duration. Plan sponsors who choose to maintain a short duration stance on a total portfolio basis should consider alternative sources of diversification beyond equities.
