Featuring Ben Jenkins, CAPIS, Jonathan Kowolik, RVK and Constantin Cosereanu, Bloomberg LLP

Presentation Summary (with timestamps)

Click here for the video presentation

Trends in Asset Allocation and Transition Management (1:45 – 10:05)

• Asset owners have lower expectations for global equity & fixed income with focus on style
• Maintaining one or more TM providers is a common ‘best practice’
• The allocation shifts lead to increased usage and demand for transition management (TM)
• While Transition Management volumes declined in 2020, 2021 has seen a surge of activity

US Equity Rebalance Case Study (10:06 – 21:15)

• Asset owners generally know the high-level characteristics of their trade, but it’s hard to identify the risks
• Using a system like Bloomberg PORT can help identify risk contributions
• Top-down factors may not best identify the ‘real’ risk of a TM trade
• PORT can help identify individual risk elements which are not clearly identified by just looking at top-level elements (ex: Travel+Leisure only 2% of trade, but 16.5% of risk)

ETF/Portfolio Creation Case Study (21:16 – 33:48)

• PORT can help identify the ‘true’ and available liquidity for assets, especially ETFs which have hidden liquidity (due to creation/de-creation)
• Historic execution timing may be useful to understand seasonality or other cyclical impacts to portfolios
• Factor and non-factor risks can drive trade costs

For questions or to learn more about CAPIS and Transition Management, please reach out to Ben Jenkins at [email protected] and follow us on Twitter (@capisinc) and LinkedIn for more updates and insight from our team.