Defensive way to improve performance of multi-asset portfolios
Traditional multi-asset portfolios make allocations to cap-weighted equity indices to benefit from good long-term risk adjusted returns. But this also exposes the portfolio to the drawbacks of market volatility, including extreme events and tail risks, limiting the allocation to equities in a multi-asset portfolio. Traditional defensive strategies offered to investors have five common drawbacks. They deliver negative exposure to other rewarded factors since most competitors do not account for negative factor interactions. They are very often concentrated portfolios since stocks are either wei...
Source: asiaasset.com