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The Ptolemy Foundation was established to provide financial assistance for research and education in the field of astronomy. Tom Fiske, the foundation's chief investment officer, and his staff of three analysts employ a top-down process that begins with an economic forecast, assignment of asset class weights, and selection of appropriate index funds. The team meets once a week to discuss a variety of topics ranging from economic modeling to economic outlook, portfolio performance, and investment opportunities, including those in emerging markets.At the start of the meeting, Fiske asks the analysts, Len Tuoc, Kim Spenser, and Pier Poulsen, to describe and justify their different approaches to economic forecasting. They reply:Tuoc: "I prefer econometric modeling. Robust models built with detailed regression analysis can help predict recessions well because the established relationships among the variables seldom change."Spenser: "I like the economic indicators approach. For example, the composite of leading economic indicators is based upon an analysis of its forecasting usefulness in past cycles. They are intuitive, simple to construct, require only a limited number of variables, and third-party versions are also available."Poulsen: "The checklist approach is my choice. This straightforward approach considers the widest range of data. Using simple statistical methods like time-series analysis, an analyst can quickly assess which measures are extreme. This approach relies less on subjectivity and is less time-consuming."The team then discusses what the long-term growth path for U.S. GDP should be in the aftermath of exogenous shocks due to the financial crises that began in 2008. They examine several reports from outside sources and develop a consensus view of 10-year annual growth expectations for the items in Exhibit 1. After a review of the portfolio and his discussion with the investment team, Fiske determines a need to increase U.S. large-cap equities. He prefers to forecast the average annual return for U.S. large-cap equities over the next 10 years using the Grinold-Kroner model and the data in Exhibit 2. The analysts think that adding to U.S. Treasuries would fit portfolio objectives but they are concerned that the Federal Reserve is likely to raise the fed funds rate soon. They assemble the data in Exhibit 3 in order to use the Taylor rule to help predict the Fed's next move with respect to interest rates. To assess the attractiveness of emerging market equities, Fiske suggests that they use the data in Exhibit 4 and determine the expected return of small-cap emerging market equities using the Singer-Terhaar approach. Finally, upon examining the data pertaining to the European equity markets, the investment team believes there are attractive investment opportunities in selected countries. Specifically, they compare the recent economic data with long-term average trends in three different countries (Exhibit 5). |
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