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How to systematically beat the 60-40 portfolio

How to systematically beat the 60-40 portfolio

Dynamic strategic asset allocation

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Policy Tensor
Jun 25, 2022
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How to systematically beat the 60-40 portfolio
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In the previous dispatch, we documented the results of a controlled experiment where, using Doeswijk’s capital market assumptions, we only varied the expected returns on the asset classes and kept the rest of the inputs invariant. We found that an unexpectedly large allocation to real-estate may be warranted. The exercise involved only unconditional str…

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