Investing for Insurers: Review and Preview 2014
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Alton R. Cogert, CFA, CPA, CAIA, CGMA
President and Chief Executive Officer
March 13, 2014
Insurance Investment Forum XIV
Investing for Insurers:
Review and Preview
Investing for Insurers
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Investing for Insurers
I want you to go to the window, open it, stick your head out and yell:
"I'm as mad as hell, and I'm not going to take this anymore."
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Investing for Insurers
More Risk?
Diversification
Better Execution
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More Risk?
How?
Interest Rate
Credit
Liquidity
Market
Liquidity and Portfolio Choice: A Unified Approach
Time Diversification and Horizon-Based Asset Allocations
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More Risk?
Where?
Bank Loans (aka Leveraged Loans)
Emerging Mkt Debt
High Yield Bonds
Dividend Focused Equities
Various Equity Capitalizations
Real Estate (REITs)
Int’l Equity
Convertibles
MLP’s
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More Risk?
Where?
Bank Loans
Dividend Equity
Small Cap Growth
Convertibles
EM Debt
PE (Fund of Funds)
Hedge Funds
Infrastructure
Global multi-asset/TAA
Eager, Davis & Holmes, LLC Insurance Asset Tracker, Q4, 2013
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More Risk?
When?
Tactical v Strategic
Mean Reversion
Cognitive Limitations and Biases
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More Risk? When?
Cognitive Limitations and Biases
Making Better (Investment) Decisions
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More Risk? When?
Cognitive Limitations and Biases
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More Risk? When?
Cognitive Limitations and Biases
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More Risk? When?
Cognitive Limitations and Biases
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More Risk? When?
Cognitive Limitations and Biases
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More Risk? When?
Cognitive Limitations and Biases
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More Risk? When?
Cognitive Limitations and Biases
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More Risk? When?
Cognitive Limitations and Biases
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Investing for Insurers
More Risk?
Diversification
Better Execution
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Diversification
Efficient Frontier
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Diversification
Efficient Frontier
Asset returns normal?
Correlations fixed?
All investors rational?
If everyone did it?
Which Strategic Asset Allocation Model is Best?
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Diversification
“Modified” Efficient Frontier
Regime shifts
Regime Shifts: Implications for Dynamic Strategies
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Diversification
“Modified” Efficient Frontier
Factor Based Investing
Risk Parity Portfolios
Diversification: Still the Only “Free Lunch”?
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Investing for Insurers
More Risk?
Diversification
Better Execution
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Better Execution
Active v Passive Investment
Efficient Markets Hypothesis v Irrational Exuberance
Nobel Contradiction: Fama v Shiller
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Better Execution
The Real Cost of Investment Management
Investment Management Fees Are (Much) Higher Than You Think
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Investing for Insurers
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Investing for Insurers
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Investing for Insurers
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More Risk?
Diversification
Better Execution
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