Here’s the TL;DR:
Portfolio construction may substantially boost performance without active views on relative returns.
In finance this objective is described by “mean-variance optimization”.
A material proportion of all financial assets are held in investment vehicles and accounts that are exclusively or partially informed by market capitalization.
If the market cap weighted portfolio is sub-optimal, WHAT IS THE ALTERNATIVE? Is the equal weight portfolio optimal? Or are there other methods that might produce better results?
This is the question that motivated us to write this article series.