This week's research note takes a deeper dive into diversification within a tactical 90/60 portfolio that utilizes portable beta.
By breaking down the strategy into its passive holdings (a 50/50 stock/bond portfolio and U.S. Treasury futures) and active long/short overlays (trend equity, bond carry, bond momentum, and bond value), we gain a better understanding of how they interact and how each piece has performed historically.
Using a mean-variance framework, we arrive at an efficient frontier of the strategy components and assess the differences between the optimal portfolio and the tactical 90/60.
We enjoy looking into ways that investors can pursue capital efficiency while managing the additional risks that often entails and hope you will give it a read and let us know your thoughts. (PDF)
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What We're Reading
→ THE ALLEGORY OF THE HAWK AND THE SERPENT: Artemis Capital's recent commentary on how to grow and protect wealth for 100 years. "Most investors would rather fail conventionally than succeed unconventionally."
What We're Talking About
→ 🎧 THE AGNOSTIC CASE FOR VALUE: Corey joined his friend Toby Carlisle on The Acquirers Podcast to talk about momentum and value. Specifically, he discussed the Newfound/ReSolve Robust Equity Momentum Index and our recent published research note Should I Stay or Should I Growth Now?
You can listen to (or even watch) our discussion below.
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