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.
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.
Practical, solution-focused research
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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At the core of thought leadership and strategic thinking
Recent examples of Strategy thought leadership
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.
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.
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.
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.
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.
This paper underscores the value of a disciplined long-term strategy and the necessity of maintaining and protecting that strategy against sudden volatility.
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.
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.
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.
Our global research addresses changing economic regimes and the power of regime-based asset allocation
Emerging market assets, while acknowledged as an important element of the investment universe, have lagged in their acceptance as a strategic asset class.
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 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.
Watch the video and hear Peter Rappoport speak about the Improving on Risk Parity research paper.
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