Allan Gray-Orbis Global Equity Feeder AMETF · JSE:AGOGE
Allan Gray-Orbis Global Equity Feeder AMETF — AfDB and Allan Gray webinar, 25 November 2020
9 slides from Allan Gray-Orbis Global Equity Feeder AMETF's conference presentation, Nov 25, 2020
Slide 1: Reserve Advisory & Management Partnership
Reserve Advisory & Management Partnership
Slide 2: Multi-asset class portfolios during crisis
Multi-asset class portfolios during crisis Selected Slides from July 9, 2020 RAMP Technical Webinar November 2020| Video Conferencing Bernard Murira, CFA Reserves Advisory and Management Partnerships (RAMP) http://ramp.worldbank.org/
Slide 3: General Overview
General Overview FX Reserves Sovereign Wealth Funds Investor Type Excess Pension Funds Stabilization Core Reserves Savings Funds Reserves Funds Intergenerational Rationale for Liquidity/ Meet contractual Manage fiscal Precautionary wealth setting up Precautionary obligations volatility management Va
Slide 4: Return Expectations need to be revisited in the pandemic aftermath
Return Expectations need to be revisited in the pandemic aftermath • Institutional investors use forward-looking return expectations as a main tool to: ✓ Understand risk-return trade-offs in the future ✓ Set appropriate investment objectives ✓ Adjust the strategic asset allocation of their portfolio
Slide 5: Fundamental Assumption – Equilibrium real risk free rate
Fundamental Assumption – Equilibrium real risk free rate Equity risk premium is typically 3 - 4% over the long-term bond real yield US Real Fed Funds Rate (deflated using Core PCE Index) • Since all assets are priced as a risk-premium 12 over cash, the real expected risk free rate 10 impacts signifi
Slide 6: Long-Term Expected Returns (USD, nominal)
Long-Term Expected Returns (USD, nominal) Long-term return expectations have been revised downward in recent months 10Y Nominal Return Expectations (arithmetic, annualized) Research Capital KKR (next Goldman Cliffwater PMC BlackRock Affiliates Economics 5yrs) Sachs Cash 1.4 1.6 1.8 0.2 0.6 1.7 1.2 U
Slide 7: Portfolio weights: why rebalance the portfolio?
Why rebalance the portfolio? • Starting with the Medium Risk Portfolio (40% Stocks) in 1985, one can observe that with no rebalancing, the actual Stocks weight by 2008 gets to 60%, which implies a much higher risk profile during Medium the financial Risk Portf.crisis - Allocation weights (no rebalan
Slide 8: Disclaimers
Disclaimers This presentation and associated comments by speakers should be treated confidentially and not shared or disclosed to any parties outside of your institution. Any interpretations, conclusions, views or opinions expressed are those solely of the authors and speakers and do not represent t
Slide 9: Slide 9
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