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Cross Asset Monthly

Cross Asset Model Portfolio: Recalibrating Risk

  • The summer free-fall reversed in July as 13 of our 16 benchmark indexes closed the month in positive territory. The RGE model portfolio closely tracked the benchmark market portfolio, adding 43 bps in July, while the latter eked out an additional 2 bps. On a YTD basis, the RGE portfolio has returned 5.85%, compared to benchmark gains of 5.25%, while keeping tracking error within a 200-bps target range.  

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