RT Journal Article
SR Electronic
T1 Dynamic Asset Allocation with Horizon Risk:
Revisiting Glide Path Construction
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 18
OP 26
DO 10.3905/jwm.2014.16.4.018
VO 16
IS 4
A1 Peter Mladina
YR 2014
UL https://pm-research.com/content/16/4/18.abstract
AB We compare the empirical distributions of equity and fixed-income returns at different time horizons and find that the risk of equities relative to fixed income is more acute at short time horizons than long time horizons, confirming previous research. This creates the opportunity to develop a dynamic asset allocation process that exploits the reduced horizon risk of equities relative to fixed income. We highlight key data on changing relative risk with time and leverage this information to introduce methods and concepts that inform glide path construction—the building blocks for a dynamic asset allocation process that can support lifecycle, target date retirement, and goals-based investing frameworks.TOPICS: Portfolio construction, security analysis and valuation, fixed income and structured finance, performance measurement