Whenever I update returns for the Global Market Index (GMI) and its components (as I did last week) or crunch the data on projecting risk premia, I invariably receive emails asking for the associated asset allocation percentages. I get the impression that some readers see the asset weights for GMI as the keys to the kingdom. In fact, the weights aren’t all that useful–except as benchmarks for customizing a portfolio and related risk management/analysis. Knowing that you’re holding more, less, or the equivalent of Mr. Market’s asset allocation is valuable information.
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