{
  "title": "Institutionalizing Countercyclical Investment: A Framework for Long-term Asset Owners",
  "publication": "IMF Working Papers, February 29, 2016",
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  "summary": "Do portfolio shifts by the world’s largest asset owners respond procyclically to past returns, or countercyclically to valuations?",
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    {
      "heading": "Research questions and scope",
      "content": "- Do portfolio shifts by the world’s largest asset owners respond procyclically to past returns, or countercyclically to valuations?\n- If countercyclical investment (with both market-stabilizing and return-generating properties) is a public and private good, how might asset owners be empowered to do more of it?\n- Analysis is based on representative portfolios totaling $24 trillion for a range of asset owners (central banks, pension funds, insurers and endowments)."
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    {
      "heading": "Key empirical finding",
      "content": "- Portfolio changes typically appear procyclical across the analyzed representative portfolios."
    },
    {
      "heading": "Framework recommendations to promote countercyclical investment",
      "content": "- Embed governance practices to mitigate “multi-year return chasing.”\n- Rebalance to benchmarks with factor exposures best suited to long-term investors.\n- Minimize principal-agent frictions.\n- Calibrate risk management to minimize long-term shortfall risk (not short-term price volatility).\n- Ensure regulatory conventions do not amplify procyclicality at the worst possible times.\n\n---\n\n Content in this bundle\n\n- wp1638\n  - wp1638 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp1638 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/institutionalizing-countercyclical-investment-a-framework-for-long-term-asset-owners-43750"
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    "Authors: Bradley Jones",
    "Published: February 29, 2016",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781513512495.001",
    "Do portfolio shifts by the world’s largest asset owners respond procyclically to past returns, or countercyclically to valuations?",
    "If countercyclical investment (with both market-stabilizing and return-generating properties) is a public and private good, how might asset owners be empowered to do more of it?",
    "Analysis is based on representative portfolios totaling $24 trillion for a range of asset owners (central banks, pension funds, insurers and endowments).",
    "Portfolio changes typically appear procyclical across the analyzed representative portfolios.",
    "Embed governance practices to mitigate “multi-year return chasing.”",
    "Rebalance to benchmarks with factor exposures best suited to long-term investors.",
    "Minimize principal-agent frictions.",
    "Calibrate risk management to minimize long-term shortfall risk (not short-term price volatility).",
    "Ensure regulatory conventions do not amplify procyclicality at the worst possible times.",
    "**_wp1638**"
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