The Best Defensive Strategies: Two Centuries of Evidence
研究了全球金融史220多年中防御策略的表现，发现低风险、质量和价值因子以及多资产防御策略（如DAR和趋势跟踪）能有效抵御下跌，对投资者优化组合有参考价值。
We examine downside protection—or defensive—strategies over more than 220 years of global financial history, covering many years in which traditional equity–bond portfolios suffer and across a wide range of economic scenarios and historical regimes. Traditional defensive equity factors—low-risk, quality, and value—consistently provide effective downside protection, whereas gold and put options prove less drawdown or cost-effective. Our long-run evidence shows that multi-asset defensive strategies, particularly a return-enhanced version of the defensive absolute return (DAR) portfolio introduced by Cavaglia et al. (2022) and trend-following, provide the most effective downside protection. DAR and trend-following are complementary across tests by diversifying each other across stages of drawdowns. Investors can improve the defensive properties and improve total portfolio outcomes of traditional portfolios by considering the deep sample evidence on defensive strategies provided in this paper.