Paul Allen
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## Does 'Sharpe Parity' Work Better Than 'Risk Parity?' [View article]

Well somehow it would make sense, to use a momentum scheme and weight the correspondening assets according to a risk parity/maximum diversification/minimum variance etc approach afterwards, instead of using a Sharpe Parity Portfolio.

## The Most Diversified Inflation-Proof Retirement Portfolio [View article]

## Does Trend Following Work? [View article]

Well, as professional investor you get the data prior 1957. This is mainly due to the fact that Bloomberg Professional provides a generic index before that time. According to Bloomberg, the data prior 1957 is confirmed by S&P. However, might be possible that as non-professional investor do not get the data prior 1957.

Anyhow, the outcome of the research paper is pretty clear. Simple moving average crossovers will never outperform a simple buy and hold!

## Does Trend Following Work? [View article]

## Does Trend Following Work? [View article]

http://bit.ly/1tnWxcx

## The Curious Mathematics Of Moving Averages [View article]

http://bit.ly/1tnWxcx

## Modern Portfolio Theory 2.0 - The Most Diversified Portfolio [View article]

http://bit.ly/St2aVV

## The Most Diversified Inflation-Proof Retirement Portfolio [View article]

http://bit.ly/St2aVV if investors are searching for absolute return portfolio.

## The Most Diversified Inflation-Proof Retirement Portfolio [View article]

## The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]

## The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]

## Low-Volatility Investing Versus CAPM: The Truth About The Low-Volatility Effect! [View article]

## Low-Volatility Investing Versus CAPM: The Truth About The Low-Volatility Effect! [View article]

## Low-Volatility Investing Versus CAPM: The Truth About The Low-Volatility Effect! [View article]

## Modern Portfolio Theory 2.0 - The Most Diversified Portfolio [View article]

Well, we have solved the MDP with the constraints of no short-selling, since it does not make sense to short an asset class that has a positive risk premium. To find the right combination, you have to implement a non-linear optimization algo, where you can add the specific constraints. Furthermore, we have used a rolling variance-/covariance matrix, with an exponential weighting factor, in order to react on different correlation regimes. This is one of our major risk management tools within the WSC All Weather Portfolio. If correlations tend to rise, the weighting factor is putting more weight on the last couple of events, able to react on the regime switch. So therefore we cannot exaclty determine the lookback period, as it tends to change over time.