REPORT

Asset Allocation Insights

Fixed weight asset class portfolios are a staple of most asset owners’ policy benchmarks. Their popularity stems from the ease of implementation, a transparent assumption on long-term correlations and returns, and the attractive long run returns. However, the large contribution of equity and commodity risk to the portfolio has resulted in modest risk-adjusted returns and presents the potential for drawdowns during periods of adverse economic conditions.

Key Research Topics

  • Outline the drivers of returns for trend-following along with a transparent, rules-based approach to signal construction.
  • Derive signals for the equity, commodity and fixed income sectors.
  • Construct sector-based portfolios incorporating trend signals and ‘cash-like’ assets.

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