Building and Evaluating Better Risk-Aware Strategic Portfolios
The optimal method for constructing and evaluating strategic allocations, incorporating risk metrics that span beyond standard deviation.
There is no guarantee that these objectives will be achieved.
The strategy dynamically adjusts factor exposures (market, volatility, and duration) using:
Since the strategy’s inception on 1/1/1992, this combination of reduced maximum drawdown with significant upside capture has provided annualized returns in line with the S&P 500 Index over the long term – but with significantly less volatility.