Abstract:

We will review some of the recent progress in goal-based portfolio construction and optimization techniques. In particular, our Goal Parity paper (just published in The Journal of Investing) argues that incorporating simple goals into the portfolio construction process may inform the composition of the asset universe–alternatives, bitcoin and (convex) managed futures strategies complementing stocks and bonds–as well as allocation among these assets, and can ultimately lead to superior investment results.

Among the main challenges in asset allocation are the tail behavior of asset returns, non-linear and interactive features of the financial data. We will touch on some econometric and AI/ML techniques addressing these challenges, and on the meaning of “risk” in the goal-based world.

Finally, we will review the simulated performance of Goal Parity portfolios since 1970, and during the most recent period through the end of 2024.

Bio:
Max Golts is the Chief Investment Officer at 4x4invest, LLC, an asset management startup employing a goal-based, quantitative, systematic approach to global asset allocation, portfolio construction, analysis and completion. Previously, Max was a portfolio manager at Acadian Asset Management, a strategist at SSGA and Fidelity Investments, and a senior research analyst at GMO. Max holds a Ph.D. degree in mathematics from Yale University.