Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios

This article uncovers more similarities than differences in examining 800 European asset manager, asset owner, and wealth and retail portfolios. The total risk of the average European institutional portfolio across these types is 10%–12% and is dominated by equity risk, which accounts for 83% of total portfolio risk. Within the institutions’ equity portfolios, country-specific tilts account for approximately half of the risk, and then 35% and 17% of the risk is attributable to style factors and sectors, respectively. The dominating style factor is small size, and relative to the MSCI All Country World Index (ACWI) equity benchmark, the average institution has negative quality and momentum tilts and a positive value bias. All three types of institutional investors have lower carbon emission intensities, but lower ESG scores, than the MSCI ACWI.