1. ECOM100 - STRATEGIC ASSET ALLOCATION Who We Are
Mirko Cardinale
Head of Multi-Asset
Allocation
USS Investment
Management
Andrzej Pioch
Fund Manager
Asset Allocation
Legal and General Investment Management
I am Head of Multi-Asset Allocation (MAA) at USSIM where I am building a dynamic asset allocation process for the largest pension fund in the UK.
Prior to my role at USSIM, I was Head of Asset Allocation-EMEA at Russell Investments where I was responsible for designing model portfolios and reviewing the asset allocation of EMEA funds. Before Russell I was Head of Strategic Asset Allocation and Multi-Asset Fund Manager at Aviva Investors, where I worked with Andrzej to develop a dynamic strategic asset allocation process. Prior to Aviva I was a senior investment consultant at Watson Wyatt (now Towers Watson), where I advised large institutions around Europe
Mirko holds a PhD in Finance from Imperial College, London with a thesis on the interrelationships between pension funding and capital markets, an MSc in Economics from Pompeu Fabra University in Barcelona and a BSc in Economics from Bocconi University in Milan.
I am a fund manager in the Multi-Asset Funds team with responsibilities covering the portfolio management and ongoing development of both institutional and retail multi-asset funds. Prior to joining LGIM in July 2014, I was a fund manager at Aviva Investors where, over the course of 5 years, I was responsible for developing long-term return and risk assumptions across major asset classes, providing advice on dynamic strategic asset allocation of multi-asset portfolios and managing a range of retail income funds and peer-aware multi-asset funds. I completed the MSc programme in Finance at Bocconi University in Milan. I am also a CFA Charterholder and I hold a bachelor degree in Economics and Social Science from Utrecht University.
ECOM100 Strategic Asset Allocation, Course Introduction, QMUL©

2. What We Will Cover Definition of Asset Allocation and Asset Class
Asset Allocation in Practice: static vs. dynamic, SAA vs. TAA (incl. TAA models)
Asset Allocation Models
Markowitz’s Mean-Variance and Alternative Approaches
Asset Allocation vs. Security Selection: beta vs. alpha (incl. smart beta)
Performance Attribution
Efficient Market Hypothesis and Importance of Return Forecasting
Asset Allocation Inputs: Expected Returns, Volatility and Correlation
Dynamic volatility management and tail risk hedging
Asset Allocation Process in Action: Defining Objectives and Constraints
Asset Allocation for Individuals
Asset Allocation for Institutions
Incorporating liabilities/spending targets/liquidity risk/capital requirements
ECOM100 Strategic Asset Allocation, Course Introduction, QMUL©

3. Who Worries about Asset Allocation
INDIVIDUALS
CORPORATIONS
INSURANCE COMPANIES
BANKS
PENSION FUNDS
ECOM100 Strategic Asset Allocation, Course Introduction, QMUL©

4. Investment Consultants
Who Can Help Them
Investment Consultants
Asset Managers
Trust Advisors
Hedge Funds
Private Bankers
ECOM100 Strategic Asset Allocation, Course Introduction, QMUL©

5. Asset Management Company Typical Structure
CEO
UK Investments
Fundamental Equity Desk
Quant Equity
Desk
Fixed Income Desk
Asset Allocation Desk
Liquidity
Desk
Property
Desk
Multi-Manager Desk
Economists
Strategic Asset Allocation
Tactical Asset Allocation
Multi-Asset Fund Managers
Implementation UK US
Eurozone
Japan
Asia-Pacific / EM
ECOM100 Strategic Asset Allocation, Course Introduction, QMUL©

6. What We Do Strategic Asset Allocation in Practice
ECOM100 Strategic Asset Allocation, Course Introduction, QMUL©

7. What We Do Strategic Asset Allocation in Practice
* subject to client-defined parameters to provide a customised solution:
ECOM100 Strategic Asset Allocation, Course Introduction, QMUL©

8. What We Do Strategic Asset Allocation in Practice
ECOM100 Strategic Asset Allocation, Course Introduction, QMUL©