This paper argues that letting Strategic Asset
Allocations dominate the return of portfolios
severely restricts the flexibility of skilled
portfolio managers to create diversified and optimal
portfolios. Indeed, the restriction is so great that
it is virtually impossible for active managers to
add value after all fees are taken into account. The
paper argues that active investors should not let
their choice of the level of portfolio risk
automatically determine the portfolio allocations,
as is the case with Strategic Asset Allocation but
rather that portfolio allocations should have regard
for the risk and liquidity requirements of the
investor but be flexible within wide but sensible
boundary ranges.
Presentation
David Toohey, Chief Investment Officer, Investment
Science Asset Management