Testing the simplest asset allocation rule: 1/N

Testing the simplest asset allocation rule: 1/N

04-12-2014 | リサーチ

An important decision investors have to make, is how to allocate their assets. They need to strike a balance between risk and expected return in order to realize their financial goals.

testing-the-simplest-asset-allocation-rule-260x100.jpgDiversification is not a new idea. The Talmud already suggests doing so by simply spreading your wealth equally over the different asset classes available. This simple asset allocation rule has been put on the defensive since the rise in popularity of the Modern Portfolio Theory (MPT) developed by Markowitz in 1952. This theory leans heavily on mathematical modelling using correlations between different assets.

However, recent studies* into asset allocation conclude that the simple allocation rule still works surprisingly well. It scores well on Sharpe ratio compared to other more complicated asset allocation strategies. These other strategies are based on passive allocation models, such as the MPT, and on dynamic strategies.

So what is behind the success of the simple asset-allocation rule? Risk and costs are managed quite effectively by avoiding extreme positions in one particular asset and keeping portfolio turnover low. On the contrary, the various more complicated strategies depend heavily on parameters which are notoriously difficult to predict: future returns, volatility of returns and correlations. These parameters can lead to extreme positions and may require frequent rebalancing.

Robeco Quantitative Research believes the simple 1/N allocation rule combined with periodic rebalancing is a good starting point. It can for instance be applied to a factor portfolio including value, momentum and low-volatility equities. We are currently investigating various alternative approaches to equally weighted factor allocation.



当資料は情報提供を目的として、Robeco Institutional Asset Management B.V.が作成した英文資料、もしくはその英文資料をロベコ・ジャパン株式会社が翻訳したものです。資料中の個別の金融商品の売買の勧誘や推奨等を目的とするものではありません。記載された情報は十分信頼できるものであると考えておりますが、その正確性、完全性を保証するものではありません。意見や見通しはあくまで作成日における弊社の判断に基づくものであり、今後予告なしに変更されることがあります。運用状況、市場動向、意見等は、過去の一時点あるいは過去の一定期間についてのものであり、過去の実績は将来の運用成果を保証または示唆するものではありません。また、記載された投資方針・戦略等は全ての投資家の皆様に適合するとは限りません。当資料は法律、税務、会計面での助言の提供を意図するものではありません。




商号等: ロベコ・ジャパン株式会社  金融商品取引業者 関東財務局長(金商)第2780号

加入協会: 一般社団法人 日本投資顧問業協会