Publications

This Perspective discusses Mellon Capital's views and examines economic data evaluating the resilience of the U.S. economy.

The recent turmoil in the Eurozone has illustrated the pitfalls of issuance weighted benchmarks in sovereign debt portfolios. In this paper, Ralph Goldsticker and Lowell Bennett argue that investors should design bond portfolios that minimize concentration and the risk of downgrades and defaults.

Current perspectives on several key asset classes.

In this paper, we discuss which assets belong in a real asset portfolio and why some assets commonly labelled "real" may not have all the desired properties. We also discuss the benefits of active portfolio management for real assets.

In the current environment of heightened compliance and regulatory scrutiny, the length of time that it takes to go from decision to investment seems only to be increasing. In this paper, we describe an application of beta management with growing appeal to institutional investors for its cost efficiency and flexibility: interim portfolio management.

This paper discusses the approaches to risk management in a dynamic investment environment, provides an economic framework to manage asset allocation strategy, and suggests an approach for dealing with turbulent markets.

Update to Implementing High Return, Liability-Hedging Portfolios by Joseph Miletich, CFA

This paper discusses the deteriorating economic conditions in Europe against the backdrop of the recent U.S. debt downgrade.

This Perspective outlines our views on the major issues of the current debt crises, their likelihood of occurring, and the potential impact should they occur.

Managing the asset/liability risk of the pension plan has become the primary measure of success. Sponsors are searching for solutions that close funding gaps, hedge liabilities, and do so within a reasonable administrative perspective.

We look at the framework for making the active versus passive decision in fixed income, and discuss the needs of Corporate Pension Plans to invest in long high quality corporate bonds as an example.

In this paper, we analyze various fundamental index offerings and discuss how investors can use them to capture excess returns within the framework of passive index management.

Now more than ever, there is a renewed focus on managing risk in innovative ways. A centralized “exposure” or “beta manager,” specializing in risk management and the efficient implementation of a derivatives program, offers synthetic solutions to help plan sponsors address six common, investment challenges.

Beyond correlation effects, investors should understand all of the sources of performance that come with a portfolio of hedge funds and consider being active in reducing—or better managing— exposures to alpha, timing alpha and traditional beta.

Examines how pension plan sponsors can combine the tangent portfolio concept with LDI to maximize the Sharpe Ratio of the surplus volatility.

As investors reconsider equity centric asset allocation approaches, one concept gaining broader acceptance is the “risk parity” approach. However, risk parity is not a new concept; it is actually a special case of CAPM tangent theory.

A policy asset allocation’s inability to accept new information can lead to unrealized return expectations, inefficient portfolios, unexpected volatility, and tail risks.

Reflecting on the volatility and illiquidity that battered portfolios during the financial crisis, our Chief Investment Officer, Michael Ho discusses potential ways to protect portfolios against downside risk.

Our systematic, fundamental approach to commodities investing, we believe, can enhance the attractiveness of the asset class while mitigating its drawbacks.

‘Glidepaths’ help determine portfolio asset allocation in target date maturity funds. Ralph Goldsticker explores the role glidepaths play in the expected performance of those funds.

Are the high yields in the credit markets a better choice than the potential gains in a beaten-up stock market? This special report considers the question.

Our research team outlines the potential diversification benefits commodities can provide in financial portfolios.

This pressing issue is addressed by Ronald P. O’Hanley, former Vice Chairman, BNY Mellon, and Charles J. Jacklin, Ph.D., President and CEO, Mellon Capital Management.