Dynamic Core-Satellite Risk Budgeting
This post is meant as an extension to the post and
The concept of Liability Driven Investment (LDI) used for years in Institutional Portfolios, is slowly finding it use in Private Wealth Management. In this post, I will try my best to describe the benefits of splitting a savings portfolio up into a Liability Hedging Portfolio (LHP) and a Risky Portfolio.
One can argue whether Fundamental Indexing really just exploit other types of alternative betas, or is delivering Alpha. One could also decide not to get to academic and just be happy we now have the oppertunity to construct Market Neutral trading strategies. These can be found accross many ETFs, and may be due to difference in index weighting ie. market cap vs. equal-weight or fundamental weighting the same basket of stocks.
RevenueShares fx. weight the S&P 500 shares based on revenue, where as S&P 500 is market-cap weighted.