Geoff Considine

Testing Forward Looking Asset Allocation

SmartETF:

When I ask for evidence, what I am interested in is some kind of documented record. You said

"If you want proof that Extreme Value Theory works check out my fund Aston Smart Portfolios Allocation Fund 'ASENX'. "


You suggested ASENX as evidence of your better approach and it has not out-performed a generic benchmark so far--it tracks perfectly in fact with a target date fund with the same FI allocation (STLBX). But ASENX has like 400% annual turnover which means that you would need to dramatically out-perform if this were a taxable account, too.Your mutual fund using your approach certainly counts--and we can keep an eye on that.

Just saying that your method is superior or mentioning things like GARCH or EVT does not provide any concrete support---its just jargon until you demonstrate something. This is where publications are really useful--you can publish examples from your models on a forum like SA and then see how they have done. You could also have an objective / standard model that other people can test--as I have discussed in my article here.