The Global Portfolio (Yes, We Mean Everyone's)

(November 5, 2012) – Three Dutch allocation specialists took time from their day jobs to produce one the most rigorous estimates of the global aggregate portfolio ever, and have published it in whitepaper.

Authors include Robeco’s Chief Strategist Ronald Doeswijk and Vice President Laurens Swinkels, as well as Rabobanks’s Trevin Lam, a quantitative analyst.

Their results: At the close of 2011, the total value of invested assets globally was approximately US$83.5 trillion.

Of that, 54.6% was in fixed income: 30% in government bonds, 18.4% in non-governmental bonds, 2.6% in emerging market debt, 2.2% in inflation linked bonds, and 1.4% in high-yield debt.

Never miss a story — sign up for CIO newsletters to stay up-to-date on the latest institutional investment industry news. 

The average equities allocation isn’t quite the standby 40%, but it’s close at 34.7%. In total, that’s $29 trillion worth of stocks, according to the authors. Still, equities represent the smallest portion of the global portfolio since 1959—the first year for which the authors analyzed data. Allocations peaked around 1969 at 64.1%, and fell sharply after the 2008 financial crisis.

Fixed-income allocations absorbed the slack as investors fled the stock market, according to the authors’ data, with both sovereign and corporate fixed-income allocations at near record highs.

These figures include all assets that investors have actually invested in, thereby excluding durable consumption goods, human capital, personal housing, government stakes in companies, and central bank holdings of gold.

Doeswijk, Swinkels, and Lam undertook this “non-trival exercise” (as they put it) to create a comprehensive benchmark for strategic asset allocation. “It can also be used as a starting point for portfolio construction or as a sanity check to determine deviations of the investor’s portfolio from the market portfolio,” they wrote in the introduction. “In addition, investors employing tactical asset allocation strategies might use large deviations from long-term average market portfolio weights as a valuation indicator. But, aside from these practical perspectives, the market portfolio is also interesting from a theoretical perspective.”

Read the entire whitepaper, “Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011,” here.

Global Portfolio

The head of the UK’s pension fund association is set to take the helm of Europe’s representative body for the sector next week, aiCIO can reveal.

(November 5, 2012) — Joanne Segars, the chief executive of the United Kingdom’s National Association of Pension Funds (NAPF), is set to take over the chair of the European Federation for Retirement Provision (EFRP), aiCIO has learned.

A source close to the association told aiCIO that Segars would be officially confirmed in the post at the EFRP’s general assembly meeting in Dublin next Monday. A spokesman from the NAPF confirmed Segars was in line for the role, but would be retaining her post at the UK organisation.

A spokesman for the EFRP said Segars had to be formally elected to the position next week, but the vote was usually just a formality.

On November 19, Segars will open the organisation’s European Pension Funds Congress, which is to take place in Frankfurt, Germany. A document from the European Insurance and Occupational Pensions Authority (EIOPA), which holds its conference the day after the congress in Frankfurt, confirms Segars as the “incoming chairwoman of the EFRP”.

Want the latest institutional investment industry news and insights? Sign up for CIO newsletters. 

The EFRP represents national associations of pension funds and similar institutions for workplace pension provision across Europe. It has affiliate associations in 16 EU member states and five other European countries, totalling 28 member associations. The occupational pension plans of about 75 million EU citizens are covered by EFRP members representing over €3 trillion in assets.

The organisation has voiced its opposition to the implementation of Solvency II, legislation originally intended for the insurance sector, on European pension funds.

Segars has led the NAPF since October 2006, having joined the organisation in 2005 as director of policy. Before joining the NAPF she was head of pensions and savings at the Association of British Insurers from 2001 to 2005. Joanne held the pensions brief at the Trades Union Congress for 13 years.

Segars will take over the chair from Patrick Burke, who was chairman of the Irish Association of Pension Funds between 2007 and 2009. He is a director of Irish Life Investment Managers.