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Multi-Asset Investing: A practical guide to modern portfolio management by Yoram Lustig

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8. Historical performance of asset classes

We do not know what is going to happen in the future. We do know, however, what has happened in the past and this is the first step in understanding what may happen in the future. George Santayana said “those who cannot remember the past are condemned to repeat it.” You need to know the past to understand the present and to understand the present to predict the future.

History teaches us about the way different asset classes behave, their return and risk characteristics, and the interrelationships among them. Portfolios are invested to generate returns in the future. Before exploring the methodologies to position portfolios for the future, however, the first step is examining the history of different ...

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