Developing Strategic Asset Allocation
Model
i. Identify return and risk objectives
ii. Establish allowable asset classes
iii. Determine time-frame and probability constraints
iv. Optimize allocation with mean-variance
v. Modify allocation using proprietary methods
Creating the Asset Management
Team
i. Search and verify average and consistent performers
ii. Complete subjective due diligence
iii. Simulate each manager combination
iv. Optimize manager combination
Performance and Portfolio
Monitoring
i. Determine manager compliance with IPS
ii. Quarterly manager conferences
iii. Measure portfolio characteristics
iv. Rank performance
v. Track style drift
vi. Identify significant changes in team
vii. Monitor soft-dollars
Tactical Asset Allocation
i. Opportunistic
ii. Statistical
iii. Proprietary model
|