Date: 08 September 2016
CPD Hours: 37 minutes
The complexity of asset allocation can be daunting. Yet, there are some surprisingly simple rules that can lead to superior performance. In this webinar, Joachim Klement shows how asset allocators often focus on predicting the wrong variables and how this focus on predicting the unpredictable can lead to inferior results. By accepting forecasting uncertainty the path towards simpler, yet more effective asset allocation techniques becomes accessible. This webinar will examine:
- Forecast errors propagate over time and often overcome the beneficial effects of mean reversion. Investors should thus be reluctant to base asset allocation on return forecasts.
- Forecast-free asset allocations or asset allocation methodologies taking forecast errors into account thus tend to be more robust than traditional asset allocation techniques in real life.
- The most extreme case of equal weighted portfolios performs remarkably well.