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Dial Up Return, Not Risk: The Z-Shift Framework

Report: Systematic Strategies

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By Russell Korgaonkar and Graham Robertson – Man AHL: Over the past few years, we have written about how it is possible to build portfolios using tried-and-tested risk management techniques that have similar risk characteristics to traditional portfolios, but with improved returns. Termed the ‘Z-shift’ because of the figure drawn in risk-return space, the technique makes use of diversification, capital efficiency and risk management overlays.

In the Z-shift, the route from the traditional 60/40 portfolio to, in our view, a more optimal portfolio, is as follows.

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Man Group
Man Grouphttp://www.man.com
Man Group is a global, technology-empowered active investment management firm focused on delivering alpha and portfolio solutions for clients. Headquartered in London, we manage $151.7 billion* and operate across multiple offices globally. *As at 30 June 2023.

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