RT Journal Article
SR Electronic
T1 Model Portfolios
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 46
OP 63
DO 10.3905/jwm.2019.21.4.046
VO 21
IS 4
A1 Debarshi Basu
A1 Michael Gates
A1 Vishal Karir
A1 Andrew Ang
YR 2019
UL https://pm-research.com/content/21/4/46.abstract
AB Model portfolios are constructed using passive and active vehicles to help meet specific investment outcomes. We present a rigorous, repeatable framework for designing optimal model portfolios, which (1) selects a benchmark portfolio that reflects a target level of risk; (2) constructs a strategic model portfolio that reflects long-term capital market assumptions; and (3) potentially, but not necessarily, incorporates tactical views in a final model portfolio, rotating positions around the strategic model holdings to reflect short-term market views. Using the framework, we demonstrate the construction of model portfolios for multi-asset-class and factor-investing applications.TOPICS: Portfolio construction, risk management, analysis of individual factors/risk premia, performance measurement