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Strategic Asset Allocation

Strategic Asset Allocation Q4 2024

Wednesday, 16 October 2024, written by Maarten Spek

Strategic Asset Allocation (SAA) plays a crucial role in an investors’ decision-making process. This report features the quarterly update of 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 tables with volatility and correlation data for every asset class.

In the Q4 SAA update, the allocation to bonds and equities in the target return portfolio changes compared to the SAA Q3 update, while in the Max. Sharpe portfolio there are notable changes in the TIPS and IG allocation..

This report is published: Quarterly

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Previous reports

SAA Special: AI and Robotics

Monday, 16 September 2024

Note: For the main Q3 Strategic Asset Allocation report, scroll down to the 'Previous Reports' section. Thematic reports like this are published in the months between.

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Strategic Asset Allocation Q3 2024

Wednesday, 17 July 2024

Strategic Asset Allocation (SAA) plays a crucial role in an investors’ decision-making process. This report features the quarterly update of 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 tables with volatility and correlation data for every asset class.

Read more

SAA Special: Stock market valuations

Wednesday, 19 June 2024

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. 

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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!