We can't tell you the exact asset allocation because the Indices are risk-based i.e. how much return has a manager given you for a given level of risk (volatility). We don’t collect the details of precisely where managers invest for each portfolio purely because average asset allocation, or currency allocation for that matter is effectively meaningless. It implies that every portfolio invests in a bit of everything from cash, equities and bonds, to more alternative things like commodities, gold, property, derivatives, fine wine, art etc., when this is far from reality.
What we can tell you is the asset allocation we have inferred using optimisation techniques. This shows what you potentially could have invested in to replicate the performance of the PCI.
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Throwing Caution to the Wind
As Harold MacMillan is reputed to have said, the greatest difficulty comes from “Events, dear boy, events”. 2022 was a year when events made the art of investment even more difficult than…