May 30, 2007

Asset allocation entails that an optimization process will use expected returns and covariance as key factors determining the amount to be allocated to each of the components considered in the investment process. The end result is a mean variance efficient portfolio. Whether the asset allocation process delivers as promised depends on many factors. For one, there are the manager's decisions. Then there is the economic environment or market movements and the changing risk and correlation associated with market cycles.

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