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Post-Modern Asset Management: The Credit Crisis and Beyond
Compiled by CS Venkatakrishnan
This brief collection of articles produced by investment professionals at J.P. Morgan Asset Management is an effort to inform individual and institutional investors on the lessons of the credit crisis with thoughts on the likely consequences for investment management. This document is divided into three parts. The first part has a section on the global economy followed by one on each of the major asset classes in the market: Fixed Income, Equities, Hedge Funds and Real Estate. The second part discusses structural aspects of investment: Money Markets, Wrapped Products, Securities Lending, Liquidity Management, Regulation and Risk Management. The last section offers guidance for different segments of investors: Pension Funds (DB and DC), Sovereign Wealth Funds and Individuals.
Non-normality of Market Returns: A framework for asset allocation decision making. In our latest research, we explore the non-normality of market returns, as well as their potential impact on portfolio efficiency and the asset allocation process. We find that extreme negative events are observed with much higher frequency than current risk frameworks allow for. As a result, we argue that traditional asset allocation frameworks— which are based on assumptions of normality in asset returns—can significantly understate portfolio downside risk. However, using advanced statistical methods, we believe risk frameworks can be constructed to better incorporate and account for many types of non-normality.
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