Practical Applications of Risk-versus Trend-Driven Global Tactical Asset Allocation

Institutional investors who seek protection during bearish market environments should balance risk-based with trend-driven GTAA strategies, advises Benoit Guilleminot in this report. Guilleminot, Director of Research and Innovation at Riskelia, co-wrote Risk- Versus Trend-Driven Global Tactical Asset Allocation for The Journal of Portfolio Management. His co-authors are Jean-Jacques Ohana, President and Co-Founder of Riskelia, and Steve Ohana, Professor of Finance at ESCP Europe in Paris. They compared the performance of risk- and trend-driven investment strategies on equities, commodities and bonds between 1993 and 2012. “The relative weight of a trend-driven strategy should be increased during a major crisis, but when there is no real crisis investors should keep more diversification with a risk-driven strategy,” says Guilleminot.