Resonanz Spotlight Building a Better Strategic Asset Allocation
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May 11, 2025 
Frederik Middelhoff, a quantitative strategies expert from Resonanz Capital, shares his wealth of knowledge on strategic asset allocation. He discusses bridging the gap between theory and practice for institutional investors, emphasizing actionable tools and frameworks. Topics include the limitations of mean-variance optimization, innovative risk management strategies, and the importance of aligning investment goals with stakeholder needs. Frederik's insights are a treasure trove for those looking to enhance portfolio resilience and effectiveness.
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SAA as a Long-Term Roadmap
- Strategic Asset Allocation (SAA) is a long-term roadmap for capital distribution across asset classes based on objectives and risk appetite.
- It sets a baseline investment framework that remains consistent over years, guiding long-term decision-making.
Limits of Mean-Variance Optimization
- Mean-variance optimization finds the portfolio that maximizes return for given risk but is very sensitive to input estimates.
- Small changes in assumptions can lead to extreme, unrealistic portfolio allocations requiring human judgment to moderate.
Risk-Focused Factor Allocation
- Factor-based allocation focuses on risk drivers like equity beta or inflation instead of traditional asset classes.
- This approach reveals hidden risk concentrations that traditional diversification might miss, improving true portfolio diversification.