GTAA and Global Macro for Long-term Institutional Investors

By Gerlof de Vrij, Roy Hoevenaars and Pieter Jelle van der Sluis

This article was first published as a chapter in Global Macro: Theory and Practice, by Risk Books. Institutional Portfolio Management

Financial markets occasionally go through severe boom–bust phases. Based on their experience since the 1980s, investors have increasingly begun to realise that expectations of long-term risk premia are conditional on the current state of markets, and as such cannot be applied in strategic investment plans unconditionally. Furthermore, during the global financia