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Defensive & Diversifying Strategies: What Has Worked in 2020?

Everyone’s true colors show eventually

Nicolas Rabener
10 min read
16 Jun 2020

SUMMARY

  • Defensive smart beta strategies like Low Volatility did not offer much capital protection in 2020
  • Long-short multi-factor investing generated negative returns, but still offered diversification benefits
  • Managed futures finally found their redemption given positive & uncorrelated returns

INTRODUCTION

“The best defense is a good offense” is frequently quoted in the military (George Washington), sports (Vince Lombardi), games (Risk, Settlers of Catan), as well as in business (ask any entrepreneur). Given the high valuations of stocks and low bonds yields in the US, which implies low expected returns for both asset classes, it might indeed be argued that “the best offense is a good defense” for the coming decade.

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