FYI: .In this commentary, we revisit the idea of portable beta: utilizing leverage to overlay traditional risk premia on existing strategic allocations.
.While a 1.5x levered 60/40 portfolio has historically out-performed an all equity blend with similar risk levels, it can suffer through prolonged periods of under-performance.
.Positive correlations between stocks and bonds, inverted yield curves, and rising interest rate environments can make simply adding bond exposure on top of equity exposure a non-trivial pursuit.
.We rely on prior research to introduce a tactical 90/60 model, which uses trend signals to govern equity exposure and value, momentum, and carry signals to govern bond exposure.
.We find that such a model has historically exhibited returns in-line with equities with significantly lower maximum drawdown.
Regards,
Ted
https://blog.thinknewfound.com/2019/05/tactical-portable-beta/
