Market Narratives Podcast: Institutional Portfolio Construction
Michelle Teng joins Investment Magazine’s Market Narratives podcast for a discussion on allocating to private assets while also managing liquidity risk.
For the last 20y, the correlation between stock and bond returns has been negative, enabling CIOs to increase stock allocations, with bonds acting as a hedge, while still satisfying a given risk budget. However, stock-bond correlation is not immutable. The correlation was persistently positive from the late-1960s until the late-1990s, after having been negative in the 15y before that (Figure 1). A shift to positive stock-bond correlation affects the tradeoff between portfolio expected return and risk, likely altering a CIO’s asset allocation decision. What could lead to such a shift in stock-bond correlation?
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Michelle Teng joins Investment Magazine’s Market Narratives podcast for a discussion on allocating to private assets while also managing liquidity risk.
This paper describes and simulates a simple commitment pacing plan that is generic, flexible and can be tailored to meet many situations.
This paper examines public and private asset average performance during the VIX spike quarter and in the pre- and post-volatility spike periods.