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Approximately every 12 weeks we review changes in Asset Allocation in the Advisor Perspectives (AP) Universe. Previous analyses were done:
November 15, 2007
August 15, 2007
May 27, 2007
This week we look at changes from November 15, 2007 to January 31, 2008, a period of eleven weeks encompassing significant market volatility.
Our analysis looks at changes across the entire AP Universe. The AP Universe consists of assets from high net worth (HNW) and ultra-high net worth (UHNW) investors being managed by Registered Investment Advisors (RIAs). The AP Universe is divided into three tiers based on account size. In the tier containing the Largest Accounts, the average account size is approximately $3.7 million (and this remained constant over the 11 week period). Approximately 94% of the assets (by market value) are in the Largest Accounts, so this analysis is primarily indicative of shifts in this account tier. The size of the AP Universe grew by 1.8% over this period, through the addition of new RIAs and new accounts.
Some of the significant trends occurring during this period include:
- Asset allocation by asset class showed a 0.83% increase in the cash position, roughly offset by a 0.79% decrease in the bond position. Equity allocations decreased by a mere 0.02%. During this period the Dow declined by 3.5%, from 13,110 to 12,650. Although RIAs did not make any significant changes to overall asset allocations, by asset class, during this time period, the increase in cash holdings is worthy of note, as it is indicative of a flight to quality.
- Approximately 0.43% of assets shifted into the US markets, and allocations to foreign markets declined by an almost equal amount (-0.44%), with cash holdings (as noted above) growing by 0.83%. This is a reversal of a trend that we noted in our previous three analyses, and is further indicative of a flight to quality. Within foreign equities, there was a shift out of foreign emerging markets (-3.22%) and into foreign developed markets (+3.05%), continuing a trend from the previous analysis and further demonstrating a flight to quality.
- Within the US equity markets, there has been a significant trend out of value (-1.89%) and growth (-4.67%) and into blend (+6.46%). Over the past nine months, there has been a steady flow of assets out of value and into blend, with growth remaining relatively constant.
- The only area where a flight to quality was not directly evident was in the fixed income markets. In the taxable markets, assets shifted out of short term (-0.49%) and medium term (-0.42%) securities and into long term (+0.91%) securities. Investment grade taxable bond allocations decreased (-1.16%) and medium grade allocations increased (+1.00%). This may be attributable to ratings downgrades (as opposed to proactive allocation decisions). In the municipal markets, short term allocations decreased (-0.13%), as did medium term allocations (-0.24%), resulting in an increase in long term allocations (+0.37%). As with taxable bonds, investment grade allocations decreased (-0.52%) along with medium grade allocations (-0.48%), resulting in an increase in high yield allocations (+1.00%). Again, this may be due to ratings downgrades.
The tables below show the complete data for the AP Universe for the periods from 5/27/07 to 8/15/07, 8/15/07 to 11/15/07, and 11/15/07 to 1/31/08. The number in parentheses is the total AUM as of 1/31/08.
By Asset Class ($44,993,868,113)
Asset Class |
5/27/2007 |
8/15/2007 |
11/15/2007 |
1/31/2008 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Bonds |
27.70% |
29.20% |
28.90% |
28.11% |
1.50% |
-0.30% |
-0.79% |
Cash |
8.40% |
7.90% |
9.00% |
9.83% |
-0.50% |
1.10% |
0.83% |
Equities |
63.50% |
62.10% |
60.90% |
60.88% |
-1.40% |
-1.20% |
-0.02% |
Other |
0.40% |
0.80% |
1.20% |
1.19% |
0.40% |
0.40% |
-0.01% |
By Domicile ($44,993,868,113)
Domicile |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Cash |
8.40% |
7.90% |
9.00% |
9.83% |
-0.50% |
1.10% |
0.83% |
Foreign |
9.80% |
11.50% |
12.10% |
11.66% |
1.70% |
0.60% |
-0.44% |
Unknown |
10.40% |
11.20% |
11.30% |
10.59% |
0.80% |
0.10% |
-0.71% |
US |
71.40% |
69.40% |
67.50% |
67.93% |
-2.00% |
-1.90% |
0.43% |
Non-US Assets ($5,246,152,646)
Non-US Assets |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Foreign Developed Equities |
88.40% |
73.20% |
75.10% |
78.15% |
-15.20% |
1.90% |
3.05% |
Foreign Emerging Equities |
8.70% |
23.90% |
21.80% |
18.58% |
15.20% |
-2.10% |
-3.22% |
Foreign Bonds |
2.90% |
2.90% |
3.10% |
3.27% |
0.00% |
0.20% |
0.17% |
US Equities by Market Cap ($20,706,528,861)
US Equities by Market Cap |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Large Cap |
65.30% |
65.20% |
66.00% |
64.96% |
-0.10% |
0.80% |
-1.04% |
Mid Cap |
21.10% |
20.20% |
20.10% |
20.53% |
-0.90% |
-0.10% |
0.43% |
Small Cap |
13.60% |
14.60% |
14.00% |
14.51% |
1.00% |
-0.60% |
0.51% |
US Equities by Style ($20,706,528,861)
US Equities by Market Cap |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Value |
13.80% |
12.00% |
7.10% |
5.21% |
-1.80% |
-4.90% |
-1.89% |
Blend |
55.70% |
57.00% |
58.90% |
65.36% |
1.30% |
1.90% |
6.46% |
Growth |
30.50% |
31.00% |
34.10% |
29.43% |
0.50% |
3.10% |
-4.67% |
US Equities by Market Cap/Style ($20,706,528,861)
US Equities by Market Cap/Style |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Large Cap Value |
8.60% |
7.40% |
2.80% |
1.69% |
-1.20% |
-4.60% |
-1.11% |
Large Cap Blend |
39.40% |
40.50% |
41.70% |
47.29% |
1.10% |
1.20% |
5.59% |
Large Cap Growth |
17.30% |
17.30% |
21.40% |
15.98% |
0.00% |
4.10% |
-5.42% |
Mid Cap Value |
2.30% |
1.90% |
1.50% |
0.96% |
-0.40% |
-0.40% |
-0.54% |
Mid Cap Blend |
9.50% |
9.50% |
10.10% |
9.99% |
0.00% |
0.60% |
-0.11% |
Mid Cap Growth |
9.30% |
8.80% |
8.40% |
9.58% |
-0.50% |
-0.40% |
1.18% |
Small Cap Value |
2.90% |
2.70% |
2.80% |
2.56% |
-0.20% |
0.10% |
-0.24% |
Small Cap Blend |
6.80% |
7.00% |
7.00% |
8.08% |
0.20% |
0.00% |
1.08% |
Small Cap Growth |
3.90% |
4.90% |
4.20% |
3.88% |
1.00% |
-0.70% |
-0.32% |
Foreign Developed Equities by Market Cap ($4,099,695,835)
Foreign
Developed
Equities by Market Cap |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Large Cap |
92.00% |
92.80% |
93.20% |
92.70% |
0.80% |
0.40% |
-0.50% |
Mid Cap |
5.70% |
4.40% |
4.60% |
5.85% |
-1.30% |
0.20% |
1.25% |
Small Cap |
2.20% |
2.70% |
2.20% |
1.46% |
0.50% |
-0.50% |
-0.74% |
Foreign Developed Equities by Style ($4,099,695,835)
Foreign
Developed
Equities by Style |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Blend |
20.20% |
19.20% |
18.50% |
11.66% |
-1.00% |
-0.70% |
-6.84% |
Growth |
61.90% |
64.40% |
54.40% |
65.27% |
2.50% |
-10.00% |
10.87% |
Value |
17.90% |
16.40% |
27.10% |
23.07% |
-1.50% |
10.70% |
-4.03% |
Foreign Developed Equities by Market Cap/Style ($4,099,695,835)
Foreign Developed Equities
by Market Cap/Style |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Large Cap Value |
16.80% |
15.50% |
16.90% |
9.49% |
-1.30% |
1.40% |
-7.41% |
Large Cap Blend |
59.00% |
62.60% |
50.10% |
62.04% |
3.60% |
-12.50% |
11.94% |
Large Cap Growth |
16.30% |
14.70% |
26.20% |
21.17% |
-1.60% |
11.50% |
-5.03% |
Mid Cap Value |
2.20% |
2.30% |
1.40% |
1.51% |
0.10% |
-0.90% |
0.11% |
Mid Cap Blend |
2.60% |
1.40% |
2.50% |
2.56% |
-1.20% |
1.10% |
0.06% |
Mid Cap Growth |
0.90% |
0.80% |
0.70% |
1.78% |
-0.10% |
-0.10% |
1.08% |
Small Cap Value |
1.30% |
1.50% |
0.20% |
0.66% |
0.20% |
-1.30% |
0.46% |
Small Cap Blend |
0.30% |
0.40% |
1.90% |
0.68% |
0.10% |
1.50% |
-1.22% |
Small Cap Growth |
0.70% |
0.90% |
0.20% |
0.13% |
0.20% |
-0.70% |
-0.07% |
Foreign Emerging Equities by Market Cap ($974,819,791)
Foreign Emerging Equities by Market Cap |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Large Cap |
92.40% |
97.40% |
96.90% |
97.91% |
5.00% |
-0.50% |
1.01% |
Mid Cap |
3.10% |
1.40% |
2.20% |
0.83% |
-1.70% |
0.80% |
-1.37% |
Small Cap |
4.60% |
1.20% |
1.00% |
1.26% |
-3.40% |
-0.20% |
0.26% |
Foreign Emerging Equities by Style ($974,819,791)
Foreign
Emerging
Equities by Style |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Value |
9.60% |
70.80% |
5.90% |
1.82% |
61.20% |
-64.90% |
-4.08% |
Blend |
60.40% |
21.50% |
86.60% |
29.44% |
-38.90% |
65.10% |
-57.16% |
Growth |
30.00% |
7.80% |
7.60% |
68.74% |
-22.20% |
-0.20% |
61.14% |
Foreign Emerging Equities by Market Cap/Style ($974,819,791)
Foreign Emerging Equities
by Market Cap/Style |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Large Cap Value |
7.20% |
70.30% |
5.20% |
1.35% |
63.10% |
-65.10% |
-3.85% |
Large Cap Blend |
59.80% |
20.30% |
85.70% |
28.04% |
-39.50% |
65.40% |
-57.66% |
Large Cap Growth |
25.40% |
6.70% |
6.00% |
68.52% |
-18.70% |
-0.70% |
62.52% |
Mid Cap Value |
1.30% |
0.10% |
0.30% |
0.11% |
-1.20% |
0.20% |
-0.19% |
Mid Cap Blend |
0.50% |
1.10% |
0.30% |
0.58% |
0.60% |
-0.80% |
0.28% |
Mid Cap Growth |
1.30% |
0.30% |
1.60% |
0.14% |
-1.00% |
1.30% |
-1.46% |
Small Cap Value |
1.00% |
0.30% |
0.30% |
0.36% |
-0.70% |
0.00% |
0.06% |
Small Cap Blend |
0.20% |
0.10% |
0.60% |
0.82% |
-0.10% |
0.50% |
0.22% |
Small Cap Growth |
3.30% |
0.80% |
0.00% |
0.08% |
-2.50% |
-0.80% |
0.08% |
Bonds by Type ($12,646,870,102)
Bonds by Type |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Taxable |
45.80% |
51.90% |
47.50% |
48.22% |
6.10% |
-4.40% |
0.72% |
Foreign |
1.00% |
1.10% |
1.30% |
1.36% |
0.10% |
0.20% |
0.06% |
Municipal |
32.40% |
28.40% |
29.10% |
29.73% |
-4.00% |
0.70% |
0.63% |
Unknown |
20.80% |
18.60% |
22.20% |
20.70% |
-2.20% |
3.60% |
-1.50% |
Taxable Bonds by Maturity ($6,097,871,253)
Taxable
Bonds by Maturity |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Short Term |
53.00% |
56.40% |
48.70% |
48.21% |
3.40% |
-7.70% |
-0.49% |
Medium Term |
26.20% |
25.00% |
30.00% |
29.58% |
-1.20% |
5.00% |
-0.42% |
Long Term |
20.80% |
18.60% |
21.30% |
22.21% |
-2.20% |
2.70% |
0.91% |
Taxable Bonds by Quality ($6,097,871,253)
Taxable
Bonds by Quality |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Investment Grade |
78.10% |
81.70% |
79.10% |
77.94% |
3.60% |
-2.60% |
-1.16% |
Medium Grade |
21.10% |
17.60% |
20.40% |
21.40% |
-3.50% |
2.80% |
1.00% |
High Yield |
0.80% |
0.60% |
0.60% |
0.66% |
-0.20% |
0.00% |
0.06% |
Taxable Bonds by Maturity/Quality ($6,097,871,253)
Taxable
Bonds by Maturity/
Quality |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Short Term Investment Grade |
45.90% |
50.60% |
42.20% |
41.15% |
4.70% |
-8.40% |
-1.05% |
Short Term Medium Grade |
7.10% |
5.80% |
6.50% |
7.06% |
-1.30% |
0.70% |
0.56% |
Medium Term Investment Grade |
19.00% |
18.80% |
23.50% |
23.61% |
-0.20% |
4.70% |
0.11% |
Medium Term Medium Grade |
7.20% |
6.20% |
6.50% |
5.97% |
-1.00% |
0.30% |
-0.53% |
Long Term Investment Grade |
13.20% |
12.30% |
13.30% |
13.18% |
-0.90% |
1.00% |
-0.12% |
Long Term Medium Grade |
6.80% |
5.70% |
7.40% |
8.37% |
-1.10% |
1.70% |
0.97% |
Long Term High Yield |
0.80% |
0.60% |
0.60% |
0.66% |
-0.20% |
0.00% |
0.06% |
Muni Bonds by Maturity ($3,759,548,866)
Muni
Bonds by Maturity |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Short Term |
27.80% |
28.20% |
30.00% |
29.87% |
0.40% |
1.80% |
-0.13% |
Medium Term |
30.20% |
30.60% |
29.50% |
29.26% |
0.40% |
-1.10% |
-0.24% |
Long Term |
41.90% |
41.20% |
40.50% |
40.87% |
-0.70% |
-0.70% |
0.37% |
Muni Bonds by Quality ($3,759,548,866)
Muni
Bonds by Quality |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Investment Grade |
82.00% |
83.70% |
85.50% |
84.98% |
1.70% |
1.80% |
-0.52% |
Medium Grade |
11.70% |
10.70% |
10.00% |
9.52% |
-1.00% |
-0.70% |
-0.48% |
High Yield |
6.30% |
5.60% |
4.50% |
5.50% |
-0.70% |
-1.10% |
1.00% |
Muni Bonds by Maturity/Quality ($3,759,548,866)
Muni
Bonds by Maturity/
Quality |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Short Term Investment Grade |
23.60% |
24.10% |
25.10% |
25.13% |
0.50% |
1.00% |
0.03% |
Short Term Medium Grade |
4.20% |
4.20% |
5.00% |
4.74% |
0.00% |
0.80% |
-0.26% |
Medium Term Investment Grade |
25.60% |
26.40% |
26.50% |
26.22% |
0.80% |
0.10% |
-0.28% |
Medium Term Medium Grade |
4.60% |
4.20% |
3.00% |
3.04% |
-0.40% |
-1.20% |
0.04% |
Long Term Investment Grade |
32.80% |
33.20% |
34.00% |
33.63% |
0.40% |
0.80% |
-0.37% |
Long Term Medium Grade |
2.90% |
2.40% |
2.00% |
1.74% |
-0.50% |
-0.40% |
-0.26% |
Long Term High Yield |
6.30% |
5.60% |
4.50% |
5.50% |
-0.70% |
-1.10% |
1.00% |
Foreign Bonds by Maturity ($171,637,020)
Foreign
Bonds by Maturity |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Short Term |
19.20% |
14.80% |
18.10% |
25.25% |
-4.40% |
3.30% |
7.15% |
Medium Term |
59.20% |
68.80% |
63.50% |
67.47% |
9.60% |
-5.30% |
3.97% |
Long Term |
21.60% |
16.40% |
18.40% |
7.28% |
-5.20% |
2.00% |
-11.12% |
Foreign Bonds by Quality ($171,637,020)
Foreign
Bonds by Quality |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Investment Grade |
64.10% |
75.40% |
77.50% |
87.74% |
11.30% |
2.10% |
10.24% |
Medium Grade |
28.40% |
13.40% |
10.40% |
9.40% |
-15.00% |
-3.00% |
-1.00% |
High Yield |
7.50% |
11.30% |
12.00% |
2.85% |
3.80% |
0.70% |
-9.15% |
Foreign Bonds by Maturity/Quality ($171,637,020)
Foreign
Bonds by Maturity/
Quality |
5/27/07 |
8/15/07 |
11/15/07 |
1/31/08 |
Change from |
5/27 to 8/15 |
8/15 to 11/15 |
11/15 to 1/31 |
Short Term Investment Grade |
19.20% |
14.80% |
18.10% |
25.25% |
-4.40% |
3.30% |
7.15% |
Medium Term Investment Grade |
33.70% |
57.50% |
53.10% |
58.35% |
23.80% |
-4.40% |
5.25% |
Medium Term Medium Grade |
25.40% |
11.20% |
10.30% |
9.12% |
-14.20% |
-0.90% |
-1.18% |
Long Term Investment Grade |
11.10% |
3.00% |
6.20% |
4.14% |
-8.10% |
3.20% |
-2.06% |
Long Term Medium Grade |
2.90% |
2.20% |
0.10% |
0.28% |
-0.70% |
-2.10% |
0.18% |
Long Term High Yield |
7.50% |
11.30% |
12.00% |
2.85% |
3.80% |
0.70% |
-9.15% |
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