Traditionally, balanced portfolios rely on the equity and bond risk premia to generate returns. The canonical 60% equity/40% bond allocation has produced strong long-run results, but its short- and medium-horizon experience includes large drawdowns. Those drawdowns matter not only behaviorally but mechanically, through volatility drag: large losses require disproportionately large gains to recover. This paper asks a practical question with an unusually strong empirical setup: which defensive str...
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