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Evaluating Multi-Asset Strategies

K. Stuart Peskin
The Journal of Portfolio Management Multi-Asset Special Issue 2018, 44 (2) 40-49; DOI: https://doi.org/10.3905/jpm.2018.44.2.040
K. Stuart Peskin
is an investment director and multi-asset specialist at Aberdeen Standard Investments in Boston, MA
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Abstract

An increasing number of investors are recognizing the many benefits of a multi-asset approach, including the potential for improved diversity, greater liquidity, and reduced volatility. Also advantageous is their ability to fit readily alongside a variety of investment approaches and asset class categories. That said, multi-asset strategies come with challenges. This article addresses a particularly problematic area—how to evaluate multi-asset strategy outcomes. Relying on only one or two measures for evaluation can lead to misinterpretation of the historical investment results achieved. Instead, the author advises using a variety of evaluation techniques. One of these—correlation—is discussed in depth, because the author believes it is misunderstood in many dimensions of multi-asset investing. The author also examines some of the more useful performance and risk analytics, both historical and predictive, that can help to understand what drives multi-asset investment outcomes.

TOPIC: Portfolio construction

  • Copyright © 2017 Aberdeen Standrad Investments. All rights reserved. Not to be reproduced or redistributed without permission.
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The Journal of Portfolio Management: 44 (2)
The Journal of Portfolio Management
Vol. 44, Issue 2
Multi-Asset Special Issue 2018
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Evaluating Multi-Asset Strategies
K. Stuart Peskin
The Journal of Portfolio Management Dec 2017, 44 (2) 40-49; DOI: 10.3905/jpm.2018.44.2.040

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Evaluating Multi-Asset Strategies
K. Stuart Peskin
The Journal of Portfolio Management Dec 2017, 44 (2) 40-49; DOI: 10.3905/jpm.2018.44.2.040
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  • Article
    • Abstract
    • LIMITATIONS OF CORRELATION IN EVALUATING STRATEGIES AND MARKETS
    • DIFFERENT WAYS TO EVALUATE MULTI-ASSET STRATEGY OUTCOMES
    • THE BEST EVALUATION MEASURES WILL VARY
    • CONCLUSION
    • ENDNOTES
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