Content provided by Rusty Vanneman, CFA, CLS Chief Investment Officer

We recently updated the CLS Risk Budgeting White Paper. Thanks to many hours of work led by Scott Kubie and Rui Wang, along with numerous contributions from the entire Investment Team and Investment Committee, we believe we were able to improve our risk budgeting methodology and capture some of the key enhancements to our research process.

For starters, our risk budgeting tool should become even more responsive to changes in asset class segment risk characteristics. Key changes to the methodology include weekly updates instead of monthly updates, and emphasizing a one-year time frame when incorporating various historical risk measures.

In addition, our research process has been fortified over the last year. As we’ve mentioned in past commentaries and blog posts, the size of our investment team has grown. This has enabled us to broaden our reach and ability to turn over more stones. It has also enabled us to build and incorporate more tools to support the portfolio managers and their portfolio decisions. For instance, we are now able to more effectively cover over 80 asset class segments and strategies. We have also expanded our investment analysis toolkit. While we still use many of the tools that we have used for years, we have broadened our investment analysis inputs, bringing in additional economic, fundamental, valuation, technical, and statistical factors.

In sum, we believe the new and improved CLS Risk Budgeting White Paper adequately captures some of the major enhancements that we’ve made over the last year. We’re excited to implement them, and we hope you enjoy the paper. At minimum, it will look very impressive on your desk, office lobby, coffee table, or bedside stand!

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