Quant Congress USA: Asset class diversification outmoded, says Pimco MD
The old concept of diversification across asset classes, and modelling of assets based on historical statistics such as volatility, is out of date and should be replaced by diversification across macroeconomic risk factors, according to a managing director at Californian asset manager Pimco.
Speaking at Risk's Quant Congress USA event in New York, Vineer Bhansali said that investors should discard allocation strategies based on spreading capital across distinct asset classes, in favour of a
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