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From Precy Dumlao, Opalesque Asia:
SYZ Asset Management believes that in most cases, investors choose an asset allocation strategy based on an "exploratory approach or from mimetic behavior instead of from a fundamental reflection. The first misstep of an investor is when it looks at alternative investment as a new class to supplement conventional asset classes" it says.
In its latest market insight,the Geneva-based asset management firm, a unit of Swiss bank showed Banque SYZ & CO., said that such an approach is incorrect "not only from an economic point of view but also from that of the yields profile." It added that the alternative management universe, which is defined by the room for maneuver that the managers enjoy, is characterized above all by its
heterogeneousness.
It does not make much sense to make allocations to alternative management without additional specifications, the report added.
To better provide investors a better understanding on asset allocation, more specifically to optimize asset allocation, SYZ is suggesting two methods for quantitative portfolios. These are the bootstrap technique and the Markov chain Monte Carlo method.
The combination of the two techniques allows the process of constructing the alternative allocation to be structured in a targeted manner and is a substitute for conventional optimizations of the mean variance type, which are not very useful in this context. In addi...................... To view our full article Click here
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