Working collaboratively with our clients and their consultants, we are able to provide institutional investors with custom portfolios of pooled funds tailored to their specific needs. Our clients have access to a full spectrum of asset classes and investment strategies managed by dedicated teams across RBC Global Asset Management's (RBC GAM) global network of 17 investment teams. Our institutional portfolio managers provide these clients with education, advice, reporting, compliance monitoring and other services, depending on their specific needs.
Our approach
We have extensive experience providing strategic asset mix and allocation guidance to institutional investors.
Custom balanced solutions are developed to deliver the most relevant aspects of RBC GAM investment allocation expertise to each institutional client, leveraging expertise in equities, fixed income and alternatives in private and public markets.
For investors who prefer the simplicity of a pre-set multi-asset solution:
Our Investment Portfolio Solutions (IPS) group provides portfolio analytics and quantitative risk modelling to help stakeholders assess the risk/reward impact of different strategic investment decisions and make informed choices.
Institutional client case study
We were hired by a client seeking a manager for three separate portfolios, each held for a different purpose. Based on a discussion with the client that covered their objectives, time horizon, risk tolerance, investment beliefs, liquidity needs, and other considerations, we proposed the following three portfolios. Each portfolio is comprised of a custom mix of actively managed pooled funds.
Our Institutional Portfolio Managers helped the client re-write their investment policy statement for these portfolios. In subsequent meetings with their investment committee, we dove deeper into each of the components, how they complement one another, and how the portfolio should be expected to perform in different market environments.
Portfolio opportunity set and efficient frontier
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Core plus universe bonds |
Portfolio A |
Portfolio B |
Portfolio C |
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Multi-asset global credit |
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Canadian equities |
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Canadian low volatility equities |
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Global equities |
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Global low volatility equities |
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Emerging market equities |
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Commercial mortgages |
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Real estate |
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Infrastructure |
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| Modeled expectations (as of September 30, 2022)6 | |||||
| Long term expected return (gross) | 6.9% | 8.2% | 8.9% | ||
| Annual downside risk5 | -7.4% | -11.9% | -16.7% | ||
| Annual volatility | 5.1% | 7.7% | 10.0% | ||
| Sharpe ratio | 0.9 | 0.7 | 0.6 | ||
Portfolio breakdown |
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| Fixed income | 55.0% | 30.0% | 20.0% | ||
| Core plus universe bonds | 55.0% | 25.0% | 10.0% | ||
| Multi-asset global credit | 0.0% | 5.0% | 10.0% | ||
| Equities | 25.0% | 55.0% | 70.0% | ||
| Canadian equities | 5.0% | 12.5% | 20.0% | ||
| Canadian low volatility equities | 5.0% | 10.0% | 10.0% | ||
| Global equities | 7.5% | 15.0% | 20.0% | ||
| Global low volatility equities | 7.5% | 12.5% | 10.0% | ||
| Emerging market equities | 0.0% | 5.0% | 10.0% | ||
| Private market alternatives | 20.0% | 15.0% | 10.0% | ||
| Commercial mortgages | 10.0% | 0.0% | 0.0% | ||
| Real estate | 5.0% | 10.0% | 5.0% | ||
| Infrastructure | 5.0% | 5.0% | 5.0% | ||
Capital market assumptions
As of September 30, 2022
| Asset classes | Representative Data Series | Expected Long Term Return | Expected Annual Volatility | Expected Annual Downside Risk |
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| Universe Bonds | FTSE Canada Universe Bond Index | 4.0% | 4.4% | -6.0% |
| Core Plus Universe Bonds | Custom Index7 | 5.5% | 7.1% | -7.4% |
| Multi-Asset Global Credit | Custom Index8 | 8.0% | 8.5% | -16.4% |
| Canadian Equities | S&P/TSX Composite Index | 9.4% | 17.0% | -27.0% |
| Canadian Low Volatility Equities | RBC QUBE Low Volatility Canadian Equity Strategy | 8.5% | 11.8% | -15.7% |
| Global Equities | MSCI World Index (CAD) | 8.8% | 14.4% | -24.5% |
| Global Low Volatility Equities | RBC QUBE Low Volatility Global Equity Strategy (CAD) | 7.9% | 11.0% | -15.2% |
| Emerging Market Equities | MSCI Emerging Markets (EM) Index (CAD) | 10.8% | 22.3% | -33.2% |
| Commercial Mortgages | Custom Index9 | 7.3% | 3.6% | -7.6% |
| Real Estate6 | MSCI RealPac Canada Property Index | 6.5% | 9.6% | -12.9% |
| Infrastructure6 | EDHEC Infra 300 Index (USD) | 7.0% | 11.5% | -16.1% |
Note that the Capital market assumptions used and presented in this case study are from the time of analysis (Q3 2022). PH&N Institutional’s capital market assumptions are updated on a regular basis.
Capital market assumptions represent the views of PH&N Institutional for the purposes of illustrating and understanding the potential risk-reward trade-off of different portfolio decisions and are established by considering a variety of qualitative and quantitative sources of information including: different forecasting models; internal and external research; existing and implied future conditions aspriced by capital markets; and internal views of our fund managers. Expected long term annualized returns are for a 10 year forecast time horizon. Volatilities, downside risk and correlations are estimated from historical data and adjusted as required to reflect future market conditions. Investors should be aware of the limitations using forward-looking assumptions in that there is absolutely no guarantee that future performance will occur according to any ex-ante expectation.
Resources
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Footnotes
- Certain investment strategies or asset classes do not integrate ESG factors, including but not limited to money market, passive and certain third-party sub-advised strategies. Custom multi-asset solutions may invest in third-party funds not managed by RBC GAM. Please refer to funds’ offering documents.
- The engagement figure includes engagements for all of RBC GAM’s investment teams and does not include externally managed subadvised funds. This figure includes instances where our investment teams engaged with the same issuer multiple times. It is calculated on a best efforts basis, and may not capture every ESG-related engagement.
- The proxy voting statistics include voting for all of RBC GAM with the exception of portfolios managed by BlueBay fixed income teams, externally managed subadvised funds, and certain institutional accounts. Voting statistics account for proxy votes submitted by RBC GAM and may include instances where RBC GAM’s proxy votes were rejected at the time of meeting, which may occur due to proxy voting administration issues. Voting statistics exclude instances where RBC GAM intentionally did not vote due to shareblocking restrictions or other logistical impediments.
- Refer to appendix for modelling assumptions and disclosures.
- CVaR95 which represents the expected loss during the worst 5% of return outcomes. Hypothetical performance analyses are for illustrative purposes only and there is no guarantee that hypothetical returns or projections will be realized.
- Expected return assumed to be net of fees.
- 7.5% FTSE Canada Federal Bond Index, 20% FTSE Canada Provincial Bond Index, 40% FTSE Canada All Corporate Bond Index, 7.5% PH&N Mortgage Strategy, 5% ICE BofAUS High Yield Master II (CAD-H), 5% ICE BofA Global High Yield Index (CAD-H),10% J.P. Morgan Emerging Market Bond Index (CAD-H) and 5% PH&N Private Placement Corporate Debt Strategy
- 7.5% ICE BofA 3 Month US T-Bills (CAD-H), 3.5% ICE BofA Global High Yield Index (CAD-H),11.25% J.P. Morgan Emerging Market Bond Index (CAD-H), 11.25% J.P. Morgan Corporate Emerging Markets Bond Index (CAD-H), 7.5% J.P. Morgan Government Bond Index-Emerging Markets (GB I-EM), (CAD-H), 7.5% Credit Suisse Leveraged Loan Index (CAD-H) and 20% Thomson Reuters Convertible Global Focus Index (CAD-H).
- 39% PH&N Mortgage strategy and 61% PH&N High Yield Mortgage Strategy