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  • Does Trend Following Work? [View article]
    Hi MJS,

    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!
    Sep 17, 2014. 04:05 AM | Likes Like |Link to Comment
  • Does Trend Following Work? [View article]
    All data is coming from Bloomberg directly. They provide data for the S&P 500 prior 1957. According to their data-team, the pricing is provided by S&P directly and therefore they use a generic index prior 1957! But i guess the data is not available prior 1957 for non-professional investors.
    Sep 15, 2014. 03:53 AM | Likes Like |Link to Comment
  • Does Trend Following Work? [View article]
    Here is an comprehensive study about all possible combinations of Moving Averages, which more or less covers all questions. The outcome is not suprising at all but a quite interesting read.

    http://bit.ly/1tnWxcx
    Sep 1, 2014. 08:10 AM | 2 Likes Like |Link to Comment
  • The Curious Mathematics Of Moving Averages [View article]
    Moving average crossovers are worth looking at but they should not be the sole source of information. I conducted a study of all possible crossovers versus a buy and hold. The outcome is not a big suprise at all.
    http://bit.ly/1tnWxcx
    Aug 21, 2014. 03:48 AM | 1 Like Like |Link to Comment
  • Modern Portfolio Theory 2.0 - The Most Diversified Portfolio [View article]
    FYI: The WSC All Weather Model Portfolio reached a new All-Time-High!
    http://bit.ly/St2aVV
    Mar 30, 2014. 05:11 AM | Likes Like |Link to Comment
  • The Most Diversified Inflation-Proof Retirement Portfolio [View article]
    Well, if you consider the specific maximum losses of each underlying asset class, yes. Moreover, 2008 was a rare-event, where apart from long-term bonds and gold every major asset class suffered strong declines. As already mentioned, this portfolio was designed for an inflationary environment and 2008 inflation was of course no topic at all. Anyhow, we are also offering the "WSC All Weather Portfolio" which was designed to perform reasonable well during all predominant market conditions.
    http://bit.ly/St2aVV if investors are searching for absolute return portfolio.
    Mar 15, 2014. 08:24 AM | Likes Like |Link to Comment
  • The Most Diversified Inflation-Proof Retirement Portfolio [View article]
    Thanks for your comments. The main purpose of the portfolio is to generate stable returns although its investment universe mainly consists of non/less-interest-rate sensitivity asset classes. Therefore this portfolio is a great solution for investors who are searching a protection in an rising interest rate/ inflationary environment.
    Mar 13, 2014. 12:59 PM | Likes Like |Link to Comment
  • The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]
    Leif, you have made a good point. Assuming normal distributed returns have been always a criticism in finance, even with the assumptions of Markowitz. The main purpose of the article was to compare different portfolio construction techniques with the same underlying assumptions relative to each other, rather to focus on the absolute outcome of the individual financial ratios. You are definitely correct; there are enough parameters to work on when it comes to MC simulation. Whether to use kendall (which was used in the article), spearman or person, or how to estimate the dependences between the random ratios when it comes to copulas. So basically, the article was focused on different portfolio construction techniques, rather than modeling returns.
    Dec 12, 2013. 02:02 PM | Likes Like |Link to Comment
  • The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]
    Fred, please have a look at our other articles, where we have used recent data for the risk parity and the maximum diversification approach.
    Dec 4, 2013. 05:54 PM | Likes Like |Link to Comment
  • Low-Volatility Investing Versus CAPM: The Truth About The Low-Volatility Effect! [View article]
    Andrew,suviror ship bias is to some extend always an issue when it comes to single equity analysis. Anyhow, the main point is the relationship between risk and return as well as how different portfolio construction techniques will affect the total outcome.
    Oct 23, 2013. 01:46 PM | Likes Like |Link to Comment
  • Low-Volatility Investing Versus CAPM: The Truth About The Low-Volatility Effect! [View article]
    Good point mike, regarding the scale. Anyhow, it is more about the direction of the regression line.
    Oct 20, 2013. 08:31 AM | Likes Like |Link to Comment
  • Low-Volatility Investing Versus CAPM: The Truth About The Low-Volatility Effect! [View article]
    Nick, thanks for the post. Well I would say timing such environment might be a difficult task. However, there is a growing number of critism of the capitalization weighted indexing and in our opinion, there are more efficient ways how to construct portfolio. Anyhow, the inverse volatility technique from the SPLV is defenitely a better way and maybe some index providers will launch a similar ETF for the whole S&P 500, if the demand for such a solution is big enough.
    Oct 20, 2013. 08:29 AM | Likes Like |Link to Comment
  • Modern Portfolio Theory 2.0 - The Most Diversified Portfolio [View article]
    Wuwei,

    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.
    Oct 1, 2013. 05:15 PM | 1 Like Like |Link to Comment
  • The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]
    Good point. Well, if we would have used more asset classes, the outcome would have been basically the same in terms of the overall ranking for each portfolio. Of course, the performance and drawdown ratios would have been different, but the overall outcome would have been pretty much the same.
    Sep 26, 2013. 04:04 PM | Likes Like |Link to Comment
  • The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]
    David,

    I would be happy to read more about it :-).
    Sep 26, 2013. 03:59 PM | Likes Like |Link to Comment
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