asset allocation - modernized

We make owners and management visualize

the potential with our approach

Asset allocation – modernized approach

ASSET ALLOCATION



ASSET ALLOCATION Introduction

Describing uncertainty in a statistical sound

manner is a requirement for all asset allocation

models. Multiple scenarios improve forecasts,

will be of value in decision making and enables

an investor to assign probabilities for each

scenario. Combined with investors subjective

opinion about future economic events-

expectancy for asset returns can be stuctured in

allocation models.

Scenarios covered in this approach have been

created under the assumption that most of the

time there is a link between economic activity

and the financial markets and therefore certain

scenarios tend to repeat themselves with

predictable consequences in the financial

market.



Allocation models require a macro triggered,

structured and modernized approach

facilitating the following;

✓ Allocation - (tactical) based on a country’s state of

macro economic condition and outlook (classification)

and subsequent asset returns.

✓ Structured – Macro economic data series will be used

and collected to evaluate asset returns for periods

matching classification of economy.

✓ Modernized - in how data is collected, organized and

processed to come up with weighted asset allocation

(machine learning) that periodically is updated.

Approach

ASSET ALLOCATION Copyright © 2017 Beide Forvaltning A/S

Effective use of market information requires a structured approach

Tactical allocation


STATE OF ECONOMY defined into 6 classifications

based on macro economic indicators using monthly /

quarterly data serier. For each period asset returns

are organized in structured time series.

STATE OF ECONOMY

Moderate Recession. The economy is down as measured by the

industrial Production index (IPI) and the stock market is down as well.

Stagnant. The economy is going sideways (0 – 1 %) as measured by

The Industrial Production Index and the stock market is sideways as well.

Deep Recession. The economy is down as measured by the

Industrial Production Index (IPI) and the stock market is down more than 25%.

Chaos. When the financial markets do not behave in accordance with the

cause – effect relationship described above.

Inflationary. The consumer price Index (CPI) is growing much faster

than the industrial Production Index (IPI).

Growth. The economy is growing as measured by the Industrial

Production Index (IPI) and the stock market is up more than 5%.

Structured


Macro economic indicators and asset return

series stored in and organized data bank.

Data retrieved, processes and stored using

prevalent methods and processes.

Tickers and data series retrieved, scrubbed, stored are accessible

utilizing market information systems and format protocols.

Additional data series created to address relationships, principal

components analysis and other descriptive indicators derived from

macro economic indicators or/and asset return series (composite

series). These data series to be used in overall asset allocation

process.

MOIGC87P INDEX RBOBG87P INDEX DIEILAAM INDEX TSUNRCHR INDEX TSUNBRSL INDEX MOINY87P INDEX

Observation Date Price Price Price Price Price Price

23.02.2009 104,60 103,98 116,95 1,345 1,18 107,58

24.02.2009 109,90 109,37 120,82 1,39 1,2 110

25.02.2009 117,07 116,57 126,77 1,47 1,21 117,05

26.02.2009 130,70 130,2 126,9 1,49 1,21 130,42

27.02.2009 128,50 128 125,25 1,52 1,24 128,7

28.02.2009 128,50 128 125,25 1,52 1,24 128,7

01.03.2009 128,50 128 125,25 1,52 1,24 128,7

02.03.2009 120,32 120,32 111,12 1,47 1,1733 122

03.03.2009 123,72 123,72 114,71 1,39 1,12 125,44

04.03.2009 129,46 129,36 117,95 1,415 1,12 131,41

05.03.2009 124,37 124,27 111,48 1,48 1,16 120,77

06.03.2009 125,12 125,37 117,5 1,4 1,12 123,97

07.03.2009 125,12 125,37 117,5 1,4 1,12 123,97

08.03.2009 125,12 125,37 117,5 1,4 1,12 123,97

09.03.2009 124,65 124,5 116,04 1,425 1,1825 123,26

10.03.2009 120,88 120,63 115,37 1,4 1,165 120,22

11.03.2009 115,46 115,33 109,62 1,4 1,165 115,12

12.03.2009 125,06 124,76 118,64 1,37 1,18 125,07

13.03.2009 124,97 124,87 115,72 1,37 1,18 125,54

Modernized


Weighted asset allocation processStepwise process to update the overall asset

allocation matrix processing data, providing return statistics

(machine learning) and actual ranking and suggested allocation

for the next period. • Processing

• Machine learning

• Ranking / allocation matrix

The process of coming up with an overall asset allocation model

can be broken down into the following steps;

Whereas time-series collected, scrubbed, formated, computed

and combined in structured formats and databases.

Use of structured algorithms between macro-economic

Indicators and asset returns to portray statistical

relationship.

Whreas descriptive return statistics from asset time-series are

processed in a point scoring model. Purpose is to rank

asset returns from various countries/regions, provide a

recommended allocation map, and create execution triggers for

index funds reflecting ranked asset return series.

Product & Prices – Asset Allocation

TCopyright © 2017 Beide Forvaltning A/S

Product Description Prices

Process MapAssessment and design of an overall

infrastructure for recommending

mapping of data series, processes and

storage mediums to be used for

countries / regions in overall asset

allocation.

175 USD per hour to develop

assessment, documentation

of recommended

insfrastructure requirement.

Allocation modelDesign of a scoring model with design

of weight categories for the scoring

purpose in question (rank of asset

return series,) including qualitative and

quantitative questions to be

addressed in arriving at an overall

comparable scoring og priotized asset

return serires.

175 USD per hour to develop

overall scoring model,

subcategorizations and

executive reporting.

ASSET ALLOCATION

Analytical depth and data analysis will provide valuable insights to be combined with economic outlook.

asset allocation - modernized

Economy & Finance