Constant Mix Multiplier

P

psahni

New member
Joined
Jun 18, 2026
Messages
0
Reaction score
0
Hi
How does Constant Mix Strategy has M (Multiplier) between 0 & 1 ? Can’t it be -ve ?
Please share your knowledge. thanks
 
For a constant mix strategy,
Equity investment = M(portfolio value)
If M were negative, you would be (net) short equity.
Apparently the assumption is that you are net long equity and net long fixed income.
 
Ahh, I got it. I was calculating it with minimum ‘floor value’. But just realised/learned that there should not be any ’floor value’ in Constant mix. This removed one more doubt. thanks !!!!!!
 
psahni wrote:Ahh, I got it.
Click to expand...
Great!
psahni wrote:I was calculating it with minimum ‘floor value’. But just realised/learned that there should not be any ’floor value’ in Constant mix.
Click to expand...
There is a floor value: it’s zero.
(I’m not being a smart-aleck here: it’s important to understand that there is a floor value for B-a-H, CM, and CPPI, and what those floor values are; for CM, it happens to be zero.)
psahni wrote:This removed one more doubt.
Click to expand...
Good to hear.
psahni wrote:thanks!!!!!!
Click to expand...
My pleasure.
 
By 0 floor value, you mean that portfolio can’t go negative. All right, thanks again :)
 
cant be negative since with constant mix you must always be long equity
 
You must log in or register to reply here.
Back
Top