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  • 3 Symptoms Of A Poorly Diversified Portfolio [View article]
    Well, the degree of diversification can be measured with the so called diversification ratio! By maximizing that ratio, the portfolio achieves maximum diversification with the given investment universe. So by applying that ratio to all common asset classes, the investor creates the most diversified portfolio.
    Apr 2, 2015. 08:14 AM | Likes Like |Link to Comment
  • This Is Why You Are Diversifying Wrong [View article]
    Thanks for the interesting article. Basically, within all our published articles about multi-asset portfolios, we came to the same conclusion! This also holds for risk-parity portfolios.
    Apr 2, 2015. 08:11 AM | Likes Like |Link to Comment
  • Does 'Sharpe Parity' Work Better Than 'Risk Parity?' [View article]
    Hi, thanks for the interesting article. I totally agree with our outcome. Furthermore, the argument that a large decline in a bond market would automatically lead to significant losses in a risk parity portfolio is a myth. Well, risk parity is not risk parity. Nowadays risk parity means equal risk contribution. That means each asset class should contribute the same amount of risk/volatility to the total portfolio. The risk parity approach you described above is called inverse volatility weighting scheme. As the overall portfolio volatility is not an additive function of volatilities, this concept ignores the correlation between asset classes. The weightings between those two concepts would be only the same if you use two asset classes, as in such a case you could ignore any diversification effect. I have used a Monte Carlo simulation, to generate 300 years of daily data to compare 10 popular portfolio construction techniques (http://seekingalpha.co...) and the outcome is quite surprising.

    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.
    Jan 28, 2015. 09:11 AM | 1 Like Like |Link to Comment
  • The Most Diversified Inflation-Proof Retirement Portfolio [View article]
    FYI: The portfolio gained 8.8% in 2014 with a Sharpe Ratio above 1!
    Jan 14, 2015. 10:32 AM | Likes Like |Link to Comment
  • 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
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