On Portfolio Construction and Diversification

Diversification is no longer enough

BlackRock defines portfolio construction as such: "Portfolio construction is the process of understanding how different asset classes, funds and weightings impact each other, their performance and risk and how decisions ladder up to an investor's objectives." It is clear from this definition that proper portfolio construction needs to include a seriously developed approach to diversification. Here we present the latest thinking regarding this topic.

Is Your Equity Hedge Fund Portfolio Resilient Enough for Uncertain Times? (AQR)

For investors looking to mitigate their portfolio’s sensitivity to macro growth and volatility, long/short low-risk investing is a natural solution.

Portfolio Perspectives: Dare to Diversify (BNP Paribas AM)

The dominance of U.S. equities today in global indices means one must be mindful of geographical diversification.

Why Gold in 2024? Safeguarding Investment Portfolios (World Gold Council)

For compliance reasons, this paper is only accessible in certain geographies

Gold has a key role as a strategic long-term investment and as a mainstay allocation in a well-diversified portfolio.

The Death of Traditional Portfolio Construction? (Capital Allocators)

Raphael Arndt is the CEO of the Future Fund, Australia’s 200 billion AUZ ($135B) sovereign wealth fund. Here, Arndt discusses his approach to portfolio construction.

Catastrophic Risk: Investing and Business Implications (Aswath Damodaran)

The last few years have brought to the center of portfolio construction the notion of catastrophic risk. Here is how allocators should deal with it.

The CAPM, APT, and PAPM

This article puts forth a new multi-factor asset pricing model rooted in the idea of “popularity”, with less restrictive assumptions than the CAPM.

Foreign Portfolio Investment Management (Cogent Economics & Finance)

Investor sentiment refers to investor attitude and outlook toward the market and its future direction. Various factors can drive it.

Holistic Portfolio Construction with an Impact Lens (GIIN)

Over the past decade, several large pension funds, insurance companies, and sovereign wealth funds have adopted a holistic portfolio construction approach.

Using Overlays to Improve Your Total Portfolio (One River Asset Management)

Increasingly there is a focus among allocators on the total portfolio impact of allocation decisions. Find out why in this paper.

Are We Baking Portfolios with Bad Ingredients? (CAIA)

For correlations or volatility comparisons to be sound, returns need to cover the same time period—period.