What is it about?
The objective of this chapter is to extend classic investing, which is often limited to diversification within domestic equities or to a mix of equities and bonds (the traditional 60 percent stock and 40 percent bond allocation), to a wider array of assets that also include lower correlation non-equity assets.
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Why is it important?
The ready availability of highly liquid index exchange traded funds (ETFs) on assets such as domestic equities, international equities, Treasury/sovereign bonds, real estate, gold bullion and foreign currencies has the potential to extend our availability set and the resulting risk-return (σ− μ) efficient frontier beyond what is possible with equity only portfolios.
Perspectives
This research, which utilizes the Morgan Stanley Capital International (MSCI) All-Country World Index (2004–16), is based on the Agrrawal (2013) paper (where the Russell 1000 Index was used as the market proxy) and shows that multi-asset investing is a worthwhile.
Professor Pankaj Agrrawal
University of Maine
Read the Original
This page is a summary of: Multi-asset investing: beyond the 60–40 ball park, November 2017, Edward Elgar Publishing,
DOI: 10.4337/9781786431134.00014.
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