Strategic Review

The strategic asset allocation decision is the most important decision that investors make. This has been shown in landmark studies:

> Brinson, Hood, and Beebower (1986) found that asset allocation explains 93.6% of portfolio variance for the 91 pension funds studied
> Ibbotson and Kaplan (2000) found that strategic asset allocation accounts for 40% of the variance while tactical asset allocation, manager selection and security selection account for the remaining 60% of the variance

> But, they also found that the strategic asset allocation accounted for 98% – 104% of the return

Macroeconomic data

Macroeconomic data at the aggregate nominal GDP level can help to provide information regarding the trend for fundamental estimates, but more informed modeling utilizes variables that are better suited to the forecasting exercise. Chantico Global has created a broad system of integrated forecasting models which are specified at the asset class level by country or sector which produce results superior to broad simplified equations. The Chantico Global Asset Allocation Model forms the cornerstone of the Strategic Review research.

The purpose of the Strategic Review research is to provide access to strategic capital markets assumptions as well as scenario studies which are grounded in consistent, well designed macro-economic inputs. These capital markets assumptions can be used to assess policy benchmarks as well as assess policy benchmarks under risk scenarios designed by Oxford Economics, the most widely used globally integrated macroeconomic model. Using macroeconomic inputs as a cornerstone to the formulation of long term capital markets assumptions ensures that the assumptions can be considered long term and sustainable expectations.

The capital markets assumptions can be customized to include the asset classes included in the portfolio, which can vary significantly based on country and liability structure. The custom portfolio review, policy benchmark review and policy scenario review allow a customized analysis of the policy portfolio.

Finally, diversification studies, liquidity studies, manager line up reviews and asset-liability studies are available to further understand key risks and portfolio characteristics.

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Chantico Global offers an innovative approach to asset allocation in the following ways:

  • Macroeconomic narrative drives asset allocation models
  • Partnership with premier macro-economic research and strategy groups
  • Asset and sub-asset class analysis and exposure
  • Customization with control
  • Independent, conflict-free consulting

LET’S WORK TOGETHER

We have built a strong framework to ensure consistency across multiple asset classes using macro consistent forecasted inputs.

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