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Strategic asset allocation

Adaptive Valuation Strategies is our own distinctive strategic asset allocation methodology, which we use to customize a long-term investment plan for you.

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By assembling an appropriate mix of equities, fixed income, cash, and other asset classes, you can potentially enhance your core portfolio’s returns and help manage risk.

Adaptive Valuation Strategies (AVS) is Citi Private Bank’s own distinctive strategic asset allocation methodology, which is built upon key principles from our Investment Philosophy.

AVS’s aim is to maximize your returns given the amount of risk you are willing to take.

Our investment process therefore begins by gaining an understanding of your return goals, risk tolerance, and your liquidity, geographic, and currency preferences.

We then customize a long-term plan – or “strategic asset allocation” – to pursue your goals.

AVS has five levels of strategic asset allocation according to how much risk you are willing to take on.

Having established an appropriate long-term plan for you, we make tactical adjustments to it, based on the outlook for the next 12 to 18 months.

We can then implement your allocation by building you a core portfolio, using strategies from our own discretionary managers and third-party managers, as well as capital markets strategies.

The long-term plan we create for you highlights what we believe to be the optimal course for pursuing your investment goals in your core portfolio.

Gregory van Inwegen
Global Head of Quantitative Research and Asset Allocation - Citi Investment Management
How Adaptive Valuation Strategies work
Built on solid investment principles
AVS is an objective and systematic methodology for strategic asset allocation.

It is built upon principles established through academic research and proven in practice, and which help form our Investment Philosophy.

These include global multi-asset class diversification, the discipline of regular portfolio rebalancing, and staying full invested for the long term.

Forward-looking returns
AVS estimates annualized returns, called Strategic Return Estimates (SREs), over a ten-year horizon.

SREs are based on valuations and other fundamentals.

When an asset class valuation is expensive or cheap compared to its long-term average, AVS lowers or raises its SRE respectively.

This is because low valuations have tended to give way to high subsequent returns and high valuations to low returns.

A lower SRE will likely lead AVS to recommend a smaller allocation to an asset class, and a higher SRE to a larger allocation.

Specialized treatment of risk
We believe the most meaningful risk for investors is that of an allocation suffering severe losses during a crisis.

Traditional asset allocation methodologies have often failed to anticipate the frequency and severity of such losses.

AVS therefore uses a specialized measure of risk called Extreme Downside Risk (EDR), which draws upon many decades of asset class history to highlight the risks you may face.

There is a close relationship between SREs and EDRs: higher returns come with higher risks attached.

Your questions

AVS addresses ten broad asset classes: Global Developed Market Equity, Global Emerging Market Equity, Global Developed Investment Grade Fixed Income, Global High Yield Fixed Income, Global Emerging Fixed Income, Cash, Hedge Funds, Private Equity, Real Estate, and Commodities.

AVS’s estimates of annualized returns over a ten-year horizon – Strategic Return Estimates (SREs) – are generally updated on a calendar basis annually, but in extreme circumstances could be updated intra-year.

EDR – our specialized measure of risk – calculates the worst potential loss that a particular allocation may suffer within a rolling twelve-month period over ten years.

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Meet our people

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Global Head
Gregory van Inwegen
Global Head of Quantitative Research and Asset Allocation - Citi Investment Management
The long-term plan we create for you highlights what we believe to be the optimal course for pursuing your investment goals in your core portfolio.

Gregory has overall responsibility for quantitative research and asset allocation within Citi Investment Management. He oversees Adaptive Valuation Strategies, our methodology for determining the suitable long-term mix of assets for each client’s portfolio. He also serves as Vice Chairman of the Private Bank’s Global Investment Committee, which sets our tactical asset allocation policy.

Previously, he was chief investment risk officer at Ivy Asset Management, director of research at Rydex Investments and a director at the global research center in Deutsche Asset Management.

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Gregory van inwegen caricature
Global Head
Gregory van Inwegen
Global Head of Quantitative Research and Asset Allocation - Citi Investment Management

Gregory has overall responsibility for quantitative research and asset allocation within Citi Investment Management. He oversees Adaptive Valuation Strategies, our methodology for determining the suitable long-term mix of assets for each client’s portfolio. He also serves as Vice Chairman of the Private Bank’s Global Investment Committee, which sets our tactical asset allocation policy.

Previously, he was chief investment risk officer at Ivy Asset Management, director of research at Rydex Investments and a director at the global research center in Deutsche Asset Management.

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David Bailin
Global Head of Investments & Chief Investment Officer

David has overall responsibility for Citi Global Wealth Investments, which unifies the Investments teams of the Private Bank and the Consumer Bank worldwide.

As Chief Investment Officer, David ensures the integration of our asset allocation, manager research and portfolio management teams, and offers his perspectives on the markets.

David joined the Private Bank in 2009 as the Global Head of Managed Investments. He designed the architecture of our global managed investments platform, including its Citi Investment Management unit, and our distinctive private equity, real estate, hedge fund and traditional investment teams. He became Global Head of Investments in October of 2017.

Prior to joining Citi, David was Head of Alternative Investment Asset Management for Bank of America Global Wealth and Investment Management, where he was responsible for client alternative investments across private equity, real estate, venture capital and hedge funds. He has been a co-founder of a hedge fund of funds, Martello Investment Management, and a senior executive at two leading hedge funds, John W. Henry and Company and Ellington Management Group.

David holds a BA with honors from Amherst College and an MBA with honors from Harvard Business School.

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Philip Watson
Chief Innovation Officer & Head of the Global Investment Lab

Philip heads the Private Bank’s Office of Innovation, which he helped to establish in 2018. He chairs the Growth Board, participates on accelerator programs and other initiatives designed to improve the client experience. 

He has more than 20 years of financial industry experience, mostly gained at Citi. Before joining the Private Bank, he held a variety of positions within Citi’s Institutional Clients Group. As well as leading the Global Investment Lab, Philip sits on the Global Investment Committee and Multi-Asset Class Committees, which inform the tactical market views and management of discretionary portfolios respectively. 

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Steven Wieting
Chief Investment Strategist and Chief Economist

Steven heads our Global Strategy team which formulates our macro investment views across all regions and asset classes. He chairs our Global Investment Committee, which sets our tactical asset allocation, the basis for discretionary portfolios we manage for clients. 

As Chief Economist, Steven provides detailed macroeconomic analyses to inform portfolio decisions.

Previously, Steven was Head of Economics for US institutional equities at Citi Investment Research. He advised the firm’s institutional and government clients globally on macroeconomic developments, forecasts and policy analysis. 

He was also economic advisor to the Morgan Stanley Smith Barney Global Investment Committee and a voting member of predecessor Asset Allocation Committees at Salomon Smith Barney.

 Steven has a master’s in quantitative economics at Bernard M. Baruch College, City University of New York.

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OUTLOOK

Outlook 2021

In Outlook 2021, we put forward positive actions for your portfolio in this new economic cycle. We urge you to determine the amount of cash you really need to hold over the coming years and to put the rest to work.

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Global citizens

The Private Bank exists to serve a very special community. Hear the stories of global citizens in their own words.

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Global Citizens
Experience creator
ALAN FAENA

“Giving new life to a city is one of the most beautiful things that anyone can do,” says Alan Faena, as he looks out on the Miami neighbourhood that now bears his name. “It’s one of the things I’m most proud of, both here and back home in Buenos Aires. These are my gifts to the people, not only for today’s generation but also for future generations.” And what a gift the Faena District is indeed.

Spanning five blocks adjacent to the white sands of Miami Beach, the neighborhood is nothing less than an urban oasis of sensory delights. Its buildings – old and new – somehow fuse perfectly with their natural surroundings. Absolutely nothing is mundane here, not even the multistory parking garage, whose exterior could easily pass for that of an ultra-modern cultural center or designer shopping mall. Incidentally, the Faena District also possesses both of those things.

Learn more

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Global Citizens
Adriana Cisneros
ADRIANA CISNEROS

“I think it’s something like less than one third of family businesses that make it from the first to the second generation and half of those don’t make it to the third generation,” says Adriana Cisneros. “I’m the third generation in our business, so I really hope I’m going to be one of those that survives. Who knows, I might completely mess up, but hopefully not.” Messing up seems a rather unlikely prospect going by Adriana’s record to date. The company is in robust health under her leadership. She has recently returned from a whistle-stop tour of Central and South America, where Cisneros Interactive has become the sole reseller of Facebook in nine countries, the only nations on earth where the social media giant will not manage its own sales.

Facebook chose to work through Cisneros Interactive because it already has the region’s most advanced advertising network. “I started Cisneros Interactive, our digital division four years ago,” says Adriana. “Our aim from the outset has been to create the largest advertising network in Latin America and also the smartest. When we began, others were trying to do similar things, but in a very country-specific way. No one really dared to do it pan-regionally. I used the same architecture to build the business that my father did when he brought satellite television to Latin America three decades ago.”

Learn more

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Global Citizens
The Brown family & NFI: Keeping North America running
SID BROWN

I went to Georgetown University, where I majored in finance. After graduation, I went to New York, where I worked for two years in investment banking at Morgan Stanley, before attending Harvard Business School. At that point, I had to decide if I wanted to go back into investment banking or return to the family business. It was 1983 and NFI was primarily a trucking business with very small warehousing, real estate, and truck leasing components.

I’m not completely sure exactly what I was thinking at the time, but I probably felt a certain obligation to join the family business. I’d kind of grown up within NFI. From junior high school onwards, I’d always helped out at the company during summer vacations. I’d worked in the maintenance shop and as a loader in the warehouse. We had always discussed business around the family table as far back as I can remember. So I guess you could say it was in my blood.

When I entered the business, I also had two brothers and a sister working alongside me. So I not only had to figure out how to work with my father, but also with my siblings too. As we were coming up through the ranks, our father wisely refused to appoint any of us as his successor. ‘If I pick one of you,’ he said to us, ‘the others will always resent me and our relationship will suffer.’ Instead, he told us to work it out among ourselves, after which he would sell the business to us.

Learn more

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Global Citizens
Fighting an asymmetric war
MOHAMED AMERSI

Problem-solving and progress-making are second nature to Mohamed Amersi. For many years, he worked as a lawyer for two of the world’s leading firms, focusing upon highly complex equity-related deals. He subsequently set up his own advisory and investment firm specializing in technology, media, and telecoms. In 2015, he and his family created the Amersi Foundation, which particularly supports causes relating to education, poverty, conflict, and social cohesion.

The pandemic has definitely felt like a war at times. But it’s an unusual, asymmetric kind of war. The enemy we’re fighting is one that we can’t see or touch. It doesn’t deploy tanks, fire bullets or have a nuclear arsenal. But it does have hidden bases in pretty much every single part of the Earth. And our current weaponry is unable to defeat this enemy – an enemy that is only interested in killing us.

Like most people, I have had to learn a lot very quickly about COVID-19. I had no in-depth understanding of what ‘triaging,’ ‘social distancing,’ and ‘self-isolation’ were all about. We’ve all learned a completely new lexicon, a new way of living and have a new way of thinking about things. It’s a strange paradox, but we’ve had to stay apart in order to come together against this pandemic.

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