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Strategic Asset Allocation

SAA Special: Stock market valuations

Wednesday, 19 June 2024, written by Maarten Spek

Please scroll down to 'Previous Reports' section  to see the Strategic Asset Allocation Q2 report

In our monthly SAA Specials we take a more in-depth look in economic, geopolitical and (chart)technical developments that may or will influence SAA decisions. In this month SAA special, we look to stock market valuations and what they indicate for long-term returns. 

Please note that the conclusions of the SAA Specials do not affect the outcome of our Strategic Asset Allocation models, as the SAA models are based on consensus expected returns and historic volatility and correlations. The monthly SAA Specials are published in between the quarterly Strategic Asset Allocation updates. 

This report is published: Quarterly

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Previous reports

SAA Special: Demography & Deglobalisation

Tuesday, 14 May 2024

Globalization and labor force growth have directly and indirectly provided a tremendous boost to asset prices in recent decades. In the coming years, labor forces in many major economies will shrink or this trend has already started. In addition, we must consider the threat of deglobalization. What are the long-term consequences and what do they mean for strategic asset allocation decisions?

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NEW: Strategic Asset Allocation Q2 2024

Tuesday, 16 April 2024

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.

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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: 

PART I 

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. 

PART II

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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