Benchmarking Multi-Asset Portfolios: The Global Capital Stock

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PREVIEW: With its more than 120.000 CFA-Charterholders, the CFA Institute represents one of the largest and best networks of professional investors worldwide. With “Benchmarking Multi-Asset Portfolios: The Global Capital Stock“, the CFA Institute presents our research to its community. It is a great honor for us.

by Markus Schuller, January 25, 2017

Multi-asset investing is nothing new.

William Sharpe first postulated that the market portfolio was the natural starting point in portfolio construction in 1964. The balanced portfolio, which held fixed proportions of bonds and equities, was another antecedent to today’s multi-asset portfolio. With increased global access to various asset classes, multi-asset investing has entered the mainstream for certain second generation asset allocation methods — for multi-factor/multi-period models. Constructing optimally diversified multi-asset portfolios is all the more critical for investors who follow the principles of such third generation asset allocation methods as adaptive asset allocation or adaptive risk management techniques.

Multi-asset investing’s growing popularity reflects these preferences: More than 14,000 multi-asset funds are offered in Europe alone. Yet after all these years, the core question remains: How do you  know whether a multi-asset portfolio is worth the investment?



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