At the core of thought leadership and strategic thinking
The Strategy Group is one of J.P. Morgan Asset Management's primary centers for objective research, focused on the investment policy issues of greatest concern to corporate, public and Taft-Hartley plans, endowments, foundations, and insurance companies. We are an independent research group, without alignment to specific asset classes.
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Our global team has professionals located in Europe, North America and Asia. The team's areas of expertise encompass capital markets, econometrics, asset allocation, risk budgeting, asset/liability management, and pension regulation and finance.
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An ongoing dialogue with clients and consultants is the primary force shaping our research agenda. We strive to listen to institutional investors, understand their needs and ultimately distill our broad knowledge base, strategic thinking and analytical techniques into practical applications and market-driven research.
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Recent examples of Strategy thought leadership
Improving on Risk Parity: Hedging forecast uncertainty
This paper introduces a new asset allocation rule that calibrates the amount of uncertainty in forecasts and weights Risk Parity and traditional asset allocations accordingly.
This paper introduces a new asset allocation rule that calibrates the amount of uncertainty in forecasts and weights Risk Parity and traditional asset allocations accordingly.
Twelve in 2012: What Politics Can Mean for Markets in the Year Ahead
2011 has been extraordinary in a number of respects, including the influence of politics on financial markets. In "Twelve in 2012: What Politics Can Mean for Markets in the Year Ahead," This paper describes several reasons why politics could play an even bigger role in the markets in the year ahead.
2011 has been extraordinary in a number of respects, including the influence of politics on financial markets. In "Twelve in 2012: What Politics Can Mean for Markets in the Year Ahead," This paper describes several reasons why politics could play an even bigger role in the markets in the year ahead.
Risky business...don’t de-risk, right risk
More and more firms are seeking to de-risk their pension plans, but strategies such as tax arbitrage are not feasible in a low yield, low liquidity environment. By blending broadly diversified return-producing and liability-matching assets, however, sponsors can "right risk" their plans, providing for growth while moderating unrewarded interest rate risk.
More and more firms are seeking to de-risk their pension plans, but strategies such as tax arbitrage are not feasible in a low yield, low liquidity environment. By blending broadly diversified return-producing and liability-matching assets, however, sponsors can "right risk" their plans, providing for growth while moderating unrewarded interest rate risk.
Generating Income in a Low-Yield Environment
In this "low for long" rate environment, generating high and stable income remains a challenge for investors who need to maintain portfolio yields. However, certain market dynamics are creating opportunities to pick up compelling yields across a range of asset classes, each with varying levels of risk-based capital intensity.
In this "low for long" rate environment, generating high and stable income remains a challenge for investors who need to maintain portfolio yields. However, certain market dynamics are creating opportunities to pick up compelling yields across a range of asset classes, each with varying levels of risk-based capital intensity.
Price/earnings investing: One picture requires a thousand words
It is well known that equity valuations today, broadly, look attractive, including via a price-earnings ratio lens. But is that reason to buy? In this paper, we took a closer look at investing with P/E ratios. While these ratios do offer investors some useful, actionable, and potentially profitable signals, they only work for certain types of investors – those willing to rebalance frequently and shift allocations meaningfully from year to year.
It is well known that equity valuations today, broadly, look attractive, including via a price-earnings ratio lens. But is that reason to buy? In this paper, we took a closer look at investing with P/E ratios. While these ratios do offer investors some useful, actionable, and potentially profitable signals, they only work for certain types of investors – those willing to rebalance frequently and shift allocations meaningfully from year to year.
A Month to Remember: Lessons for pension plans from the August correction
This paper underscores the value of a disciplined long-term strategy and the necessity of maintaining and protecting that strategy against sudden volatility.
This paper underscores the value of a disciplined long-term strategy and the necessity of maintaining and protecting that strategy against sudden volatility.
A New Fiscal World Order: Implications for investors
Macro events such as European sovereign worries are marking a turning point for the global economy and markets. This paper explores the “new fiscal world order” and the implications for investors.
Macro events such as European sovereign worries are marking a turning point for the global economy and markets. This paper explores the “new fiscal world order” and the implications for investors.
Commodity Considerations in a New Fiscal World Order
Even as commodity prices continue to climb, investors may be wondering if it is too late to increase their exposure to the asset class. This paper describes several reasons why commodities are likely to be an investment to seriously consider over the long term.
Even as commodity prices continue to climb, investors may be wondering if it is too late to increase their exposure to the asset class. This paper describes several reasons why commodities are likely to be an investment to seriously consider over the long term.
Investing in China: Why Now and How
This paper points out how new factors—including the country's shifting political regime and the growing RMB-denominated markets—underscore the need to add exposure to China now.
This paper points out how new factors—including the country's shifting political regime and the growing RMB-denominated markets—underscore the need to add exposure to China now.
Regime Change: Implications of macro shifts on asset class and portfolio performance
Our global research addresses changing economic regimes and the power of regime-based asset allocation
Our global research addresses changing economic regimes and the power of regime-based asset allocation
Strategic Emerging: The role of emerging markets in a long-term portfolio
Emerging market assets, while acknowledged as an important element of the investment universe, have lagged in their acceptance as a strategic asset class.
Emerging market assets, while acknowledged as an important element of the investment universe, have lagged in their acceptance as a strategic asset class.
Defending the Endowment Model: Quantifying liquidity risk in a post-credit crisis world
This paper discusses the evaporation of liquidity during and after the recent credit crisis and calls into question key assumptions about asset allocation to alternatives that are at the core of the so-called “endowment model.” With that collective soul-searching in mind, along with the need to strike a balance between risk and return, the paper sets out to determine whether an optimal level for a liquidity allocation exists and, if so, how that changes subject to various investment constraints.
This paper discusses the evaporation of liquidity during and after the recent credit crisis and calls into question key assumptions about asset allocation to alternatives that are at the core of the so-called “endowment model.” With that collective soul-searching in mind, along with the need to strike a balance between risk and return, the paper sets out to determine whether an optimal level for a liquidity allocation exists and, if so, how that changes subject to various investment constraints.
The Blind Side: Managing downside contribution risk in corporate defined benefit plans
This paper concludes that conventional asset-liability models seriously understate downside contribution risk. And some of today's more popular strategies, including de-risking and fully dynamic asset allocation, in our view, do not provide the hoped-for benefit in reducing such risk. The authors, however, propose a comprehensive framework that may not only help plan sponsors manage downside contribution risk, but manage median contributions and pension expense at the same time.
This paper concludes that conventional asset-liability models seriously understate downside contribution risk. And some of today's more popular strategies, including de-risking and fully dynamic asset allocation, in our view, do not provide the hoped-for benefit in reducing such risk. The authors, however, propose a comprehensive framework that may not only help plan sponsors manage downside contribution risk, but manage median contributions and pension expense at the same time.
Expert insights
Watch the video and hear Peter Rappoport speak about the Improving on Risk Parity research paper.
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