Beruflich Dokumente
Kultur Dokumente
Early 1980s
Monroe trader Stacks of research in the daily mail Maturity bucketing. Portfolio average maturity Long callable utility bonds Dollar value of an .01 Inside the Yield Book Immunized and cash matched portfolios v liabilities Barra risk model Start of option adjusted durations and spreads Event risk (RJR), LBOs, rapid growth of the high yield market Multi factor risk models (ex ante tracking) Institutional bond indexing Growth of the mortgage market Start of move from DB to DC assets under management
Late 1980s
>2
>3
Reaching for yield performance hits (non agcy MBS) Security lending investment risks
Consolidation of dealers (2008 mergers) Consolidation of managers (Blackrock + BGI) and the move to more global reach by the largest managers LDI (liability driven investing) comes back again
>4
>5
>6
Inflation dynamics
Inflation expectations (wages, BEI, Fed credibility) key to stable trend inflation
>7
Output gap
M2/monetary base
Source: Vanguard Investment Strategy Group. For additional information, see Vanguard white paper, Recent policy actions and outlook for U.S. inflation, (Davis and Cleborne, 2009).
>8
IMPORTANT: The projections or other information generated by the VCMM regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Distribution of return outcomes from Vanguard Capital Markets Model (VCMM), derived from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of December 31, 2010. Results from the model may vary with each use and over time. For more information, please see the disclosures slide. Source: Vanguard Investment Strategy Group. For details, see Vanguards Economic and Capital Markets Outlook (Davis et al., 2010).
>9
Forward P/E
Sources: Shiller, Standard & Poors, and Vanguard Investment Strategy Group. For details, see Vanguards white paper What does the crisis of 2008 imply for 2009 and beyond?, 2009. Note: Trailing P/E ratio reflects the so-called Graham P/E ratio as used by Professor Shiller, calculated as the ratio of the previous years price/ten year average earnings.
> 10
Q&A
> 11