Thursday, April 03, 2008

Beta Based Asset Allocation: Simplicity and Transparancy

Beta Based Asset Allocation: Simplicity and Transparancy

By P. Brett Hammond, TIAA-CREF Institute (Winter 2007)

This is a companion piece to a paper titled Reverse Asset Allocation: Alternatives at the Core, written in the second quarter of 2007. As discussed in that paper, the challenges and potential benefits of alternative assets include portfolio instability and counterintuitive results on the one hand, and superior return and risk expectations on the other — characteristics that become strikingly evident through asset allocation exercises involving alternatives


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