Total Return Strategies for Multi-Asset Portfolios
针对机构投资者面临的不同投资期限冲突，提出一种基于风险的总回报策略，通过控制短期亏损风险并有效利用风险预算来提升长期收益潜力，模拟研究显示其在短期对冲有效性和长期对冲成本上的表现。
Traditional balanced funds with a more or less constant stock allocation cannot solve the conflict of the varying investment horizons most institutional investors face. To generate capital gains, the investor must accept large allocations in risky asset classes like equities, which is often difficult to reconcile with short-term requirements such as avoiding annual losses. One way around this problem is a risk-based total return strategy that explicitly controls for shortfall risk and at the same time uses the available risk budget effectively to enhance performance potential in the long run. Because such a strategy allows for greater shifts in asset class weights over time, it can start with larger allocations to stocks or other risky asset classes than static strategies. An extensive simulation study comparing this risk-based strategy to several dynamic asset allocation approaches in a backtest quantifies its short-run hedging effectiveness and long-run hedging costs. <b>TOPICS:</b>Portfolio management/multi-asset allocation, portfolio construction, performance measurement