Global Head of Quantitative Research and Asset Allocation - Citi Investment Management
February 5, 2021Posted InInvestment Strategy
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Revised Strategic Return Estimates for 2021 and Beyond
Though we have seen equity markets rebound, central bank interventions have kept interest rates low since we took the unusual step of issuing a COVID-driven Mid-Year Outlook (MYO) in 2020. Our newly revised Strategic Return Estimates (SREs), released in Outlook 2021 and detailed in our newly published Adaptive Valuation Strategies: A New Approach to Strategic Asset Allocation reflect these new realities.
Changes to the 2021 Strategic Return Estimates include a slightly higher SRE for developed investment grade fixed income and lower SREs for hedge funds, high yield fixed income, and emerging debt among others.
This piece also provides an overview of the AVS methodology, which differs significantly from traditional asset allocation in numerous ways. These include an approach to risk that prioritizes Extreme Downside Risk over volatility and the utilization of a longer historical time horizon in order to incorporate a greater range historical and economic crises.
For more details, we invite you to read Adaptive Valuation Strategies: A New Approach to Strategic Asset Allocation.Download