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The Curious Case of Risk Exposures in Diversified, Multi-Asset Class Portfolios: A Deep Dive

Previous research at Commonfund has demonstrated that a traditional 70/30 stock/bond portfolio has north of 99 percent of its risk allocated to equities. Thus portfolio risk in the traditional portfolio is not broadly diversified across equities and fixed income, but rather, highly concentrated in one exposure: equities. Does a more diversified, multi-asset class portfolio do a better job of balancing risk?

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