Model Portfolios

Posted: 19 Mar 2018 Last revised: 27 Aug 2019

See all articles by Debarshi Basu

Debarshi Basu

BlackRock, Inc

Michael D Gates

BlackRock, Inc - San Francisco

Vishal Karir

BlackRock, Inc - San Francisco

Andrew Ang

BlackRock, Inc

Date Written: September 24, 2018

Abstract

Model portfolios are constructed using passive and active vehicles to help meet specific investment outcomes. We present a rigorous, repeatable framework for designing optimal model portfolios, which (1) selects a benchmark portfolio that reflects a target level of risk; (2) constructs a strategic model portfolio that reflects long-term capital market assumptions; and (3) potentially, but not necessarily, incorporates tactical views in a final model portfolio, rotating positions around the strategic model holdings to reflect short-term market views. Using the framework, we demonstrate the construction of model portfolios for multi-asset class and factor investing applications.

Keywords: Portfolio Construction/Optimization; Strategic Asset Allocation; Tactical Asset Allocation; Single Factors; ETFs; Factor Investing; Implementation

JEL Classification: G11; G17

Suggested Citation

Basu, Debarshi and Gates, Michael D and Karir, Vishal and Ang, Andrew, Model Portfolios (September 24, 2018). Available at SSRN: https://ssrn.com/abstract=3141186 or http://dx.doi.org/10.2139/ssrn.3141186

Debarshi Basu (Contact Author)

BlackRock, Inc ( email )

55 East 52nd Street
New York City, NY 10055
United States

Michael D Gates

BlackRock, Inc - San Francisco ( email )

400 Howard Street
San Francisco, CA 94105
United States

Vishal Karir

BlackRock, Inc - San Francisco ( email )

400 Howard Street
San Francisco, CA 94105
United States

Andrew Ang

BlackRock, Inc ( email )

55 East 52nd Street
New York City, NY 10055
United States

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