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Filtering White Noise 23 Apr 2013 | 09:32 am
Most asset return processes can be characterized as containing a primary trend, along with mean-reversion around that trend, as well as a certain amount of random noise. Econometricians classify thes...
Minimum Variance Algorithm Comparison Snapshot 19 Apr 2013 | 10:16 am
The Minimum Variance Algorithm was compared to several standard optimization methods and algorithms in a recent set of tests done by Michael Kapler of Systematic Investor. Michael created a webpage f...
Minimum Variance Algorithm (MVA) Excel Sheet 5 Apr 2013 | 10:47 am
The link below contains a spreadsheet example for computing MVA weights from multiple times series. Next week, I will try to show some different applications. Minimum Variance Algorithm
Minimum Variance Algorithm (MVA) Test Drive 4 Apr 2013 | 09:08 am
The Minimum Variance Algorithm (MVA) follows much of the same logic as the Minimum Correlation Algorithm (MCA) and differs primarily in the objective function which is to minimize portfolio variance v...
Minimum Variance Algorithm (MVA) 1 Apr 2013 | 09:55 am
Often readers ask about methods for approximating minimum variance portfolios. In practice the minimum variance portfolio can be calculated in closed form only for long-short portfolios, and requires ...
Deciphering Dynamic Asset Allocation: Lessons From Perold and Sharpe 13 Mar 2013 | 10:12 am
The recent popularity of “tactical” investment strategies has given rise to a dizzying array of new terminology and strategy descriptions. Most investors and investment professionals lack a deeper und...
The Performance of the “All-Weather” Sector Portfolio Using Fidelity Funds 14 Feb 2013 | 11:17 am
In the last post, we introduced the “All-Weather” Sector Portfolio which was developed using data from Fidelity Asset Allocation Research. I created a heuristic approach to integrate a variety of fact...
Building an “All-Weather” Sector Portfolio 11 Feb 2013 | 10:37 am
The central concept of the “All-Weather” portfolio is balance: having an allocation that will perform equally well across different economic regimes. The original portfolio balances portfolio risk an...
The All-Weather Portfolio: Static or Dynamic Risk Allocation? 29 Jan 2013 | 10:25 am
The All-Weather Portfolio was designed by Ray Dalio (and clearly influenced by Harry Browne of the Permanent Portfolio) as a robust static allocation that can be used by investors to deliver consisten...
Static versus Dynamic Clustering on Multiple Asset Classes 19 Jan 2013 | 11:19 pm
In the last post we looked at the performance of static versus dynamic clusters on Dow 30 stocks. It is also logical to look at the same comparison on multiple asset classes. Michael Kapler of Systema...
