Abstract

http://ssrn.com/abstract=1958082
 
 

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Multi Strategy Asset Allocation (MSAA) - New Concepts for Institutional Asset Management
Part 1 – A Primer on MSAA


Michael Busack


Absolut Research GmbH

Jan Tille


Absolut Research GmbH

Dezember 22, 2011


Abstract:     
In the aftermath of the recent financial crisis, institutional investors, especially in Europe, who use traditional asset allocation concepts (e.g. 60% stocks, 40% bonds) are pushed to limits that challenge their ability to achieve a sustainable return to cover their liabilities. Facing tight risk budgets as well as volatile financial markets, they are looking for concepts that will enable them to generate sufficient long-term returns. This article introduces a new concept called Multi Strategy Asset Allocation (MSAA). MSAA deals with the strategic and tactical asset allocation of multiple investment strategies with differing degrees of complexity within one or more asset classes. By diversifying the portfolio over several uncorrelated investment strategies, portfolio managers and asset classes, MSAA creates an asymmetric return profile that enables investors to preserve or build up a sufficient risk budget, so that they are able to invest in a variety of risky assets at any point in time. This in turn should lead to a sustainable stream of returns, sufficient to serve their liabilities.

Number of Pages in PDF File: 16

Keywords: Asset Management, Asset Allocation, Absolute Return, Hedge Fund, Private Equity, Multi-Asset, Multi-Strategy, Asymmetric Returns

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Date posted: December 22, 2011  

Suggested Citation

Busack, Michael and Tille, Jan, Multi Strategy Asset Allocation (MSAA) - New Concepts for Institutional Asset Management Part 1 – A Primer on MSAA (Dezember 22, 2011). Available at SSRN: http://ssrn.com/abstract=1958082 or http://dx.doi.org/10.2139/ssrn.1958082

Contact Information

Michael Busack
Absolut Research GmbH ( email )
Grosse Elbstr. 277
Hamburg, 22767
Germany
+49403037790 (Phone)
+494030377915 (Fax)
HOME PAGE: http://www.absolut-research.de
Jan Tille (Contact Author)
Absolut Research GmbH ( email )
Grosse Elbstr. 277
Hamburg, 22767
Germany
HOME PAGE: http://www.absolut-research.de
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