Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets

摘要

Regime changes present a big challenge to traditional strategic asset allocation (SAA) approaches seeking to develop static "all-weather" portfolios that optimize efficiency across a range of economic scenarios. If economic conditions are persistent and strongly linked to asset class performance, then a dynamic strategy should add value over rebalancing to static weights, as argued by Sheikh and Sun [2012].