Building A Multi-Asset Protection Portfolio Using “Consensus” Strategies

How should an investor approach portfolio protection? Constructing objectives, policies, strategies and implementations designed to mitigate downside risk is topical given the recency of the 2020 Q1 pandemic crash, today’s lofty equity markets, and thin fixed income yields.

In this article we conduct a simple exercise: build a hypothetical consensus protection portfolio using Premialab Pure Factors. Pure Factors, designed to track consensus performance across a wide range of indexed systematic strategies, provide the breadth, uniformity, and realism that can help investors explore and model with more power.