Alert iconWarning: Unsupported web browser

In View no longer supports your current web browser version, which means some functionality may be limited. Please update your browser for the best experience before you log in.

close icon
Citi Private Bank logo

Unsupported browser

Our website no longer supports your current web browser version, which means you are no longer able to access this website. Please update your browser to continue.

Continue

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.

Strategic asset allocation collage
bridge over water
man in deep thought

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.

Read more

Meet our people

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.

Contact us

To help us put you in touch with the right advisor or team, please answer the following questions.

Close Contact Form
Close Modal

You're about to leave the Citi Private Bank website

By clicking continue, you will visit a third-party website that is not owned or managed by us.

We have no control of the content, privacy or security beyond this point.

Continue

Stay on this page