Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach
针对新兴市场投资，提出一个两模块资产配置框架：第一模块构建跨区域、国家和资产类别的风险平衡组合，第二模块在跟踪误差预算内引入基于预期收益的倾斜，以改善传统基准的缺陷。
Investors seldom include emerging markets in their strategic asset allocations. The authors argue that much of this skepticism is due to a period of weak returns, exacerbated by the suboptimal construction of the traditional market-cap benchmarks. Such indexes concentrate risk in single countries, are inconsistent across asset classes, and do not reflect the fundamentals of the underlying economies. Hence, the authors propose an asset allocation framework comprising two modules. The first module constructs a portfolio with balanced risk targeted across regions, countries, and asset classes. By geographically balancing risk, the portfolio is less vulnerable to the idiosyncratic shocks prevalent in emerging markets. Moreover, the resulting portfolio overweights lower-volatility bond markets, which not only exhibit higher risk-adjusted returns but are also less correlated with riskier assets. The second module introduces tilts based on expected returns within a tracking error budget. The authors demonstrate the benefit of incorporating expected return assumptions via systematic value- and carry-based tilting.