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Introducing the Multi-Asset Strategy Index

Diversification benefits in general can be obtained by investing in assets with low correlations, and risk reduction can be monetized via leverage. In this article the authors propose and implement a rules-based and objective model that is designed to be investable by enhancing standard asset allocation models in two key ways. First, the strategy uses commodities and currencies as two additional assets, and second, the objective of the asset allocation model is to generate the highest possible portfolio Sharpe Ratio. Backtesting the strategy reveals that using leverage to control the risk of a portfolio can be significantly more efficient than altering the asset allocation. This allows for an optimal portfolio to be held while choosing the desired risk level. Historical simulations of the strategy show that Sharpe ratios are twice as high as the average Sharpe Ratio of its underlying assets.