The State of Wisconsin Investment Board (SWIB), created in 1951, is an independent state agency responsible for managing the assets of the Wisconsin Retirement System , the State Investment Fund (SIF), and other state trust funds. As of December 31, 2021[update], SWIB managed $165.6 billion in assets.Edwin Denson was appointed the executive director/chief investment officer in April 2021..
The correlation between stock and bond returns is a cornerstone of asset allocation decisions. History reveals abrupt regime shifts in correlation after long periods of relative stability. We investigate the drivers of the correlation between stocks and bonds and find that inflation, real rates, and government creditworthiness are important explanatory variables. We examine the implications of a shift in the stock-bond correlation and find that increases are associated with higher multi-asset portfolio risk and higher bond risk premia.
This article examines the impact of mainland Chinese buyers in the Hong Kong housing market, using complete transaction records between 2001 and 2017. We find that mainland buyers pay an average price premium of 1.4% compared with locals. The premiums are estimated to be 3.5% for large-sized luxury units and 1.6% for homes in central locations. The mechanisms that underlie the price premiums include a hedging effect, residential sorting, and information barriers, of which the hedging motive has the strongest impact. Mainland buyers’ price premiums rise significantly when the Chinese currency depreciates or China Economic Policy Uncertainty increases. Our study sheds light on the impact and mechanism of the ““China shock” on the global housing markets.
In this article, the authors explore the benefits of strategic allocations to factor premia for long-horizon investors. They consider single-asset-class and multi-asset-class factor premia overlays to underlying equity–bond investments. The benefits of the overlays are assessed across the accumulation and decumulation stages of an investor’s lifecycle. Their analysis suggests that factor premia provide notable benefits by increasing the likelihood of achieving accumulation goals, smoothing the transition path to achieving those goals, and enhancing decumulation outcomes.
This paper highlights the long run, strategic benefits of factor premia as a complement (overlay) to an underlying exposure to equities and bonds. We provide a utility-based framework for evaluating alternative strategies and in particular account for the impact of extreme and undesirable events to long run wealth accumulation. We present evidence suggesting that an overlay of equity premia to a reference portfolio can enhance the likelihood of achieving wealth accumulation goals and can smooth the transition path to achieving those goals. These results can be attributed to both long positions and short positions in contrast to recent findings suggesting shorts fail to add value. The benefits of the factor premia overlay additionally extend to the decumulation or retirement stage as reflected in an enhancement to the coverage ratio. Taken together, these findings suggest that the equity factor premia strategies we present can be utilized to support welfare enhancing gains.
