The document provides a performance overview of the Multi-Asset Risk Premia Portfolio compared to MSCI World and Barclays Agg. It includes historical performance data, correlation metrics, and average risk premium weights. The data spans from February 2012 to February 2017, highlighting key performance indicators such as compounded annual growth, volatility, Sharpe ratio, and max drawdown. The document also details the average risk premium weights across various categories before volatility targeting.
documents/vol00010-efta01364403-pdf.pdf
{"title":"Multi-Asset Risk Premia Portfolio Performance Overview","document_type":"tabular","key_organizations":["Deutsche Bank","Bloomberg"]}