This paper proposes a unique dynamic portfolio construction framework that improves portfolio performance by adjusting asset allocation in accordance with a forecast market risk.
It finds that modifying asset allocation to the market risk barometer offers investors the “promising opportunity” to meaningfully enhance portfolio performance across market environments.
To access the paper click below
Risk-based dynamic asset allocation with extreme tails and correlations
dynamic asset allocation, Georgetown University Investment Office, Peng Wang, Rodney Sullivan, tail risk
Singapore’s two largest asset owners, GIC and Temasek, see attractive opportunities in climate adaptation solutions – a relatively underfunded area compared to decarbonisation. The former has already made selective adaptation investments and said the opportunity set across public and private debt and equity could increase to $9 trillion by 2050.
Top1000funds.com is the market leading news and analysis site for the world’s largest institutional investors. It focuses on leading the global investment industry to continuous improvement through case studies of best practice in governance and decision making, portfolio construction and efficient portfolio management, fees and costs, and sustainable investing.
The publication pushes the industry to question whether status quo processes and behaviours to tackle risks and opportunities will be sufficient in the future, and actively campaigns for diversity, sustainability, transparency, innovation and better alignment of fees in the investment industry.
Top1000funds.com is read by investment professionals in more than 40 countries.
Leave a Comment
You must be logged in to post a comment.