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New Perspective on Investment Models

Kees Koedijk and Alfred Slager
The Journal of Portfolio Management Investment Models 2021, 47 (5) 15-23; DOI: https://doi.org/10.3905/jpm.2021.1.224
Kees Koedijk
is a professor of banking and finance at Utrecht University School of Economics in Utrecht, The Netherlands
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Alfred Slager
is a professor of pension fund management at TIAS School for Business and Society at Tilburg University in Tilburg, The Netherlands
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Abstract

What is the secret ingredient to securing better long-term investment outcomes? Investors seldom consider institutional investors from an organizational and strategic perspective. Thinking in terms of investment models highlights a severely under-researched area. The authors propose that this different lens is required to make sense of the dynamics in the investment industry and has a lot to offer to boards that are open to this. Five models dominate the investment industry, and the authors identify an emergent one that has its roots in the existing models but takes a strong societal perspective, which they denote the prudent society investment model. Thinking in terms of investment models, boards and decision makers will be able, far better than today, to determine why, how, and what is needed for investment success.

TOPICS: Pension funds, portfolio theory, financial crises and financial market history

Key Findings

  • ▪ Every investor works with an investment model: a unique combination of goals, risk appetite, investment beliefs, and governance of investment implementation.

  • ▪ Making the underlying assumptions and consequences explicit is key; otherwise, achieving long-term success is a struggle.

  • ▪ Investment models evolve slowly. The increased focus on long-term, private assets and the incorporation of societal goals are new elements but do not (yet) form an entirely new model. Thus, we have to keep learning from and adapting the existing ones.

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The Journal of Portfolio Management: 47 (5)
The Journal of Portfolio Management
Vol. 47, Issue 5
Investment Models 2021
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New Perspective on Investment Models
Kees Koedijk, Alfred Slager
The Journal of Portfolio Management Mar 2021, 47 (5) 15-23; DOI: 10.3905/jpm.2021.1.224

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New Perspective on Investment Models
Kees Koedijk, Alfred Slager
The Journal of Portfolio Management Mar 2021, 47 (5) 15-23; DOI: 10.3905/jpm.2021.1.224
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  • Article
    • Abstract
    • INVESTMENT MODEL
    • MODEL 1: TRADITIONAL ASSET ALLOCATION MODEL
    • MODEL 2: OPERATIONAL BENCHMARK MODEL
    • MODEL 3: ENDOWMENT MODEL
    • MODEL 4: FACTOR ALLOCATION MODEL
    • MODEL 5: RISK PARITY MODEL
    • REFLECTION ON INVESTMENT MODELS
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