Strategic Asset Allocation

What if the classic 60/40 diversification no longer works? Government bonds increasingly move in the same direction as equities during risk-off episodes. What are attractive alternatives to government bonds? In the May special, we discussed commodities and private debt; in this report, we examine whether gold or Bitcoin is an attractive alternative.

Strategic Asset Allocation (SAA) plays a crucial role in an investors’ decision-making process. This report features the quarterly update of three SAA models, their portfolio characteristics and the (proprietary) data we have used to construct the SAA models. In addition, we update the Expected Returns based on the return assumptions of approx. 70 asset managers and present tables with volatility and correlation data for every asset class.

What if the classic 60/40 diversification no longer works? Government bonds increasingly move in the same direction as equities during risk-off episodes. This report examines whether commodities or private debt can replace bonds as a portfolio hedge – and why structural trends may favour commodities while private debt shows signs of a potential bubble.