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Strategic Asset Allocation

NEW: Strategic Asset Allocation Q2 2024

Tuesday, 16 April 2024, written by Maarten Spek

Strategic Asset Allocation (SAA) plays a crucial role in an investors’ decision-making process. This report features three SAA models, their portfolio characteristics and the data we have used to construct the SAA models. In addition, we update the Expected Returns based on the return assumptions of approx. 50 asset managers and present 4 risk measures for every asset class in candle stick charts.

This report is published: Quarterly

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Why is SAA important? 

Strategic Asset Allocation (SAA) plays a key role in the return of an investment portfolio. According to Julius Bär, it is assumed that SAA determines approximately 80% of the return. Academic studies support this assumption. 

Our SAA report consists of two parts: 


In the first part, we discuss the SAA distribution optimised for minimum volatility given a return objective. We explain how we arrived at the most objective return target possible, the optimisation methodology we use and the assumptions and constraints that apply. 


The second section provides tables with all inputs for the three model portfolios; the cross asset correlations, historical volatility and expected returns for every used asset class in the SAA and we take a deeper dive in the expected returns based on return assumptions of approx. 50 asset managers.

USP's for the ECR SAA Report:

  • Based on leading expert prognoses, not historical performance 
  • 14 asset classes included, 3 different SAA tables 
  • Cost-efficient benchmarking of your strategy
  • Quarterly updates with macro, political, and technical insights

When considering whether to overweight or underweight an asset class, the question arises: justified by what and by how much? In our monthly Tactical Asset Allocation report, you will find how many percentage points we would deviate from the chosen strategic asset allocation as published in the Q1 Strategic Asset Allocation report.

By utilizing both our Strategic and Tactical Asset Allocation reports you unlock great value for your investment strategy! 

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