Our trio of risk-managed portfolio benchmarks continue to outperform their unmanaged counterpart (G.B16), which is in the red by 6.1% year to date through Friday’s close (Apr. 8). For details on the strategy rules and metrics in the tables below, see this summary.
The lagging performance of G.B16 continues to highlight that risk management has found traction again after an extended period of hibernation. The key question: Is this another relatively short run for risk management’s dominance? Too soon to tell, but at the moment it’s clear that unmanaged beta risk is facing its toughest test of the pandemic era. The next several weeks may shed light on whether risk management’s star will shine brighter for longer this time and begin to translate into positive returns rather than posting lesser declines. ■