30 Minutes to a Better Portfolio:
Portfolio Construction in an Age of High Correlations
We believe most investors focus too heavily on alpha generation at the expense of constructing a truly diversified portfolio. We argue that two simple portfolio construction rules can vastly improve the performance of many portfolios. While many managers find today's "risk-on, risk-off" environment challenging, we show that high correlations can actually be harnessed to create portfolios with good risk-adjusted returns.
Delivered at the Drobny Global conference in New York, NY.
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