I want to study the asset allocation by an institutional investor, like a pension, a foundation and the like. Of course I know the general knowledge by studying the CFA, but I am curious about what factor would drive the manager of the portfolio as the practical matter and what specific data the manager check every day or every month, which I guess means volatility, beta between products, return againt target, macroeconomic data, equity cap, market liquidity, FX and the like. Can someone let me know the good textbook, material or the related dissertation about asset allocation from the standpoint of the practical matter? Thank you in advance.
What more can you want than the level 3 readings. They have plenty of that… too much, imho. Each institutional investor has different goals and they’re usually linked tightly to their liabilities. Understand the liabilities and you’ll understand how/why they invest. Level 3 readings go into specifics on how they invest, active/passive, alt. investments, etc.