برخی از حقایق تلطیف شده برای استراتژی های سرمایه گذاری

In this paper, I review some stylized facts for investment strategies relevant for public investors’ asset allocation. Through historical analysis, the risk-return profile of bond turns out to be greatly related to current yield level and that of stock turns out to be affected by business cycle. Taking these characteristics factors into account, I estimated the mean, variance and volatility of stocks and bonds. According to my estimates, the investment environment for the upcoming next five years is likely to be very poor. As a result, the working environment for public investor's asset managers is expected to be much worse that during the past three decades.