Our asset allocation solutions address the key issues for asset owners:
Planning horizons that are long relative to the typical rebalancing horizon in asset management;
Planning that considers both sides of the asset owner’s balance sheet, along with objectives like optimal inclusion of SRI constraints;
Shifts over time in the investment environment from “bull” to “bear” states and vice versa which induce “fat tails” and thus heightened drawdown risk in investment outcomes over the investment horizon;
Along with the risk caused by changes over time in economic regimes, we expect that groups of investors to rotate their allocations and earn premiums in given regimes – indeed if an asset owner forecasts that they are increasingly likely to be in a “bad” state but premiums won’t adjust enough given their risk tolerance, then a “risk off” move to lower risk assets would be generally optimal (such moves would, in turn, generally induce premium shifts).