60/40 Portfolios Without Bonds

Time for Kingslaying.

Nicolas Rabener
10 min read
3 May 2021

This research note was originally published by the CAIA Association’s AllAboutAlpha blog. Here is the link.

SUMMARY

  • Bonds have become less useful in asset allocation given low to negative expected returns
  • Liquid alternative strategies can be used to replace bonds
  • From a historic perspective, long volatility strategies would have been especially attractive

INTRODUCTION

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