A Solution to Incorporating Alternative Investments in Asset Allocation

LASSO is a tool that can play a variety of roles in an investment program. Relative to equities, LASSO has the potential to dampen volatility. Relative to fixed income, it may be able to enhance returns and/or diversification; this may be especially useful in a rising interest rate environment. LASSO can also be a complement to other alternative investment holdings.

LASSO Risk Analysis: Risk/Return

Annualized Risk/Return Profile: LASSO Composite (net) vs. S&P 500 and Barclays Aggregate

Inception of LASSO from December 31, 1998 through December 31, 2017 (based on monthly data)

An Alternative or Complement to Conventional Equities and Fixed Income

  • From its inception, LASSO has tended to have lower volatility and reduced correlation relative to the S&P 500 (r-squared = 0.56).
  • From its inception, LASSO has had long-term volatility more comparable to bonds than stocks and little or no correlation to the Barclays Aggregate (r-squared = 0.00).
  • Historically, LASSO has displayed a favorable risk/return tradeoff compared to these conventional market indices.