Beyond Diversification: What Every Investor Needs to Know About Asset Allocation

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Risk-Based Investing and Something About Sailboats

Markets are only partially efficient.

—JPP

IN MAY 2016, I NEEDED IDEAS FOR A PRESENTATION AT THE 69th CFA Institute Annual Conference, held in Montreal. I’m French Canadian, so this was an especially exciting opportunity. My colleague Stefan Hubrich suggested research that he and colleagues (Bob Harlow, Anna Dreyer, and others) had done to capitalize on the short-term predictability in volatility. He mentioned that managed volatility and covered call writing are two of the few systematic investment approaches that have been shown to perform well across a variety of empirical studies. Moreover, they work well in practice (we manage such strategies as overlays or components of multi-asset portfolios). ...