Benchmark Relative and Absolute Return are the Same Thing* (*Conditions Apply)

8 Pages Posted: 12 Mar 2017

See all articles by Robert B. Scott

Robert B. Scott

Schroder Investment Management Limited

Date Written: September 1, 2016

Abstract

This paper sets out a framework for relating absolute return and benchmark relative portfolio construction and demonstrates that, under certain conditions, these two very different strategies can actually result in identical portfolios. This is of particular use for public institutional investors who must stick to a benchmark relative approach for governance reasons, but would like to have the capital protection in bear markets that an absolute return strategy seeks to provide.

Keywords: Benchmark-relative, Absolute Return, Portfolio Construction, Tracking Error

Suggested Citation

Scott, Robert B., Benchmark Relative and Absolute Return are the Same Thing* (*Conditions Apply) (September 1, 2016). Available at SSRN: https://ssrn.com/abstract=2930157 or http://dx.doi.org/10.2139/ssrn.2930157

Robert B. Scott (Contact Author)

Schroder Investment Management Limited ( email )

United Kingdom

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