Human Capital e Soluzioni Target-Date Dario Castagna, CFA Senior Research Analyst Morningstar Investment Management Rimini, 20 Maggio 2011
Morningstar Investment Management Morningstar Associates United States Morningstar Associates Europe United Kingdom 1999 2001 2006 2009 2010 Morningstar Investment Services United States United States Australia France Morningstar Investment Management is a division of Morningstar, Inc. and includes Morningstar Associates, LLC (established 1999); Morningstar Associates Europe LTD (established 2006); Morningstar Investment Services, Inc. (established 2001); Ibbotson Associates, Inc. (acquired 2006); Old Broad Street Research Ltd. (acquired 2006); Ibbotson Associates Australia Ltd (acquired as Intech Pty Ltd in 2010); and Seeds Group (acquired in 2010). All are registered investment advisors and either direct or indirect subsidiaries of Morningstar, Inc.
MIM Oggi Independence Leading to Performance $121.6B Total Assets* Independent Trusted Provider $101.3 billion assets under advisement in investment consulting $17.8 billion assets under management in managed accounts $2.5 billion assets under management in managed portfolios 33+ yrs Serving Clients** 2 patents Human Capital and Asset Allocation with Annuities*** Client-Focused Customised Solutions Resorse in 26 paesi 90+ investment professionals tra cui 6 PhDs e 30 CFA Charterholders Selezionata da 75 Fortune 500 companies per fornire investment services World-Class Reputation Quoatata The New York Times, The Wall Street Journal, Forbes, Fortune, BusinessWeek, Financial Times etc. Oltre 75 ricerche pubblicate 6 Graham and Dodd Awards premi del CFA Institute *Data as of 9/30/2010 and includes retirement management and investment consulting clients for Morningstar Associates and Ibbotson Associates. ** Ibbotson Associates Inc. was established in 1977. Morningstar Associates was established in 1999 and Morningstar Investment Services, Inc. was established in 2001. ***Patent issued to Ibbotson Associates for Asset Allocation with Annuities in 2006. Patent issued to Ibbotson Associates for Human Capital in 2007.
Academic & Thought Leadership Fund of Funds Launched first US fund of funds client From 0 to 21 Bill Plan Sponsor Advice Created plan sponsor consulting services Discretionary Management Launched retirement managed accounts In-Retirement Offered draw-down solution Annuities Granted patent on asset allocation with annuities SRI Initiation of management / advisory on Socially Responsible Strategies AUM Reached $100 billion assets under management 2003 2004 2005 2006 2007 2010 Target Date Introduced customised target-maturity solutions Insurance Products Launched retirement income with insurance products Human Capital Granted patent on human capital Alternative Strategies Launched Transamerica Multi-Manager Alternative Strategies mutual fund Data provided includes retirement management, portfolio management and investment consulting clients for Morningstar Associates, Ibbotson Associates and Morningstar Investment Services.
Glide Paths: Chi ha ragione? 100 Le linee colorate rappresentano i maggiori target date provider Esposizione Azionaria (%) 80 60 40 20 0 20 28 36 44 52 60 68 76 84 Eta
Mission: Convertire la teoria nella pratica
Stato Patrimoniale degli Investori Attivita Capitale Finanziario Capitale Umano Valore Attuale dei guadagni utilizzati per le spese correnti Valore Attuale dei guadagni diretti verso i risparmi Valore Attuale della pensione Passivita Spese Future Valore Attuale delle spese pre-pensione Valore Attuale delle spese durante la pensione Valore Attuale dell eredita Surplus (Deficit)
Tipica Evoluzione del Capital Umano e Finanziario
Caratteristiche del Capitale Umano Human Capital 30% Stock 70% Bond
Modern Portfolio Theory: Markowitz s MVO e Sharpe s CAPM Expected Return 0 Cash Max Sharpe Ratio US Small Cap Non-US Developed US Large Cap Commodities Real Estate Human Capital US Bonds (Bond-like Characteristics) TIPS Risk Private Equity Emerging Markets Market Portfolio Stocks: 47% Bonds: 53% Retirement Income Liability (Short TIPS-like characteristics) This is a graphical representation; plot points are not necessarily meaningful.
Targeting the Market Portfolio Human Capital Financial Capital Market Portfolio 30 70 +? Ú 47 53 Total Economic Wealth Stocks (%) Bonds (%)
Modern Portfolio Theory & Risk Preference Conservative Moderate Aggressive Conservative Moderate Aggressive 37 63 47 53 57 43 Stocks (%) Bonds (%)
Risk Preference Human Capital Financial Capital Market Portfolio Definition Conservative 30 70 +?? Ú 37 63 Stocks (%) Bonds (%) Moderate 30 70 +?? Ú 47 53 Aggressive 30 70 +?? Ú 57 43
Risk Preference With Average Human Capital 100 Equity Exposure (%) 80 60 40 20 Risky Market Portfolio Average Market Portfolio Conservative Market Portfolio 0 20 28 36 44 52 60 68 76 84 Age
Sei un azione o un obbligazione?
Risk Capacity Human Capital Conservative Financial Capital Market Portfolio Definition 20 80 +?? Ú 46 54 Stocks (%) Bonds (%) Moderate 30 70? + Ú? 46 54 Aggressive 40 60 +? Ú? 46 54
Risk Capacity With Average Market Portfolio 100 Equity Exposure (%) 80 60 40 Safe Human Capital Average Human Capital Risky Human Capital 20 0 20 28 36 44 52 60 68 76 84 Age
Qual e il glide path piu appropiato per me? 100 Le linee colorate rappresentano i maggiori target date provider Esposizione Azionaria (%) 80 60 40 20 0 20 28 36 44 52 60 68 76 84 Eta
Conclusioni Diversi asset manager offrono soluzioni target-date molto differenti Ma non esiste una soluzione target-date perfetta per tutti gli investori/piani pensionisti Ma questa in realta dipende prindipalmente dal livello di human capital dell investore Morninstar e stato pioniera nell introduzione del concetto di capitale umano nel valutazione dell asset allocation degli investori (2 patents) Ad oggi abbiamo una metodologia che ci permette di ottimare le soluzioni target date sulla base delle circostanze unica degli investitori e piani pensionistici
Grazie! dario.castagna@morningstar.com