The world’s largest sovereign wealth (Norway) believes in relatively efficient markets and follows a passive approach with a 70:30 stock:bond index and little deviations.
The Canadian investment model advocates internalized wealth management and assets hedging liability and inflation (such commodity producer stocks, real estate, and infrastructure).
High valuations make it improbable to repeat the recent high returns in stocks and bonds and investors need to manage their return expectations accordingly.
In contrast to the Yale model, a passive approach has produced the best returns over the past decade and is likely to remain the best investment strategy in the future for individual investors.
Like private investors over the last decade, the vast majority of institutional investors would have been better off managing their funds passively with negligible costs.
Instead of following blindly historical data, investors can integrate subjective views. This is mostly justified in case of market anomalies, but dangerous in panic situations.
Au lieu de se baser uniquement sur des données historiques, il est possible d’intégrer les vues subjectives de l’investisseur, aujourd’hui souvent sur la base de modèles économétriques ou de Machine Learning
A factor approach can lead to excessive transaction costs, increasing liquidity risk or entering complex derivative transactions.
Factors are investment characteristics and investors expect premia through exposure to the corresponding risks
Risk Parity aims at designing a long-term and robust portfolio with minimal maintenance