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  • If Robert Parker Rated Portfolios: A New 100-Point Portfolio Scoring System For Measuring Risk Vs. Return [View article]
    Thank you for your feedback.

    1. Top Score of 100
    A V-score of 100 indicates that a portfolio's strategy has met or exceeded the Best Global Portfolio. You are correct that the V-score is "capped" at 100. But portfolios with a V-score of 100 can still be compared using the underlying risk and return metrics that we publish.

    We've found that it's rare for a long-only equity portfolio or bond portfolio to score 100. But scores of 100 are more common for tactical and hedged portfolios. So if you are comparing some of these high-performing portfolios, I see how it could be useful to know that a portfolio is really a phenomenal "122" and not just "100."

    2. 14 asset classes
    They are listed here: http://seekingalpha.co...
    Jun 5, 2014. 04:13 PM | Likes Like |Link to Comment
  • If Robert Parker Rated Portfolios: A New 100-Point Portfolio Scoring System For Measuring Risk Vs. Return [View article]
    Thank you. This is an excellent suggestion. We already calculate the Sharpe Ratio for our tracked portfolios, so this analysis should be straightforward.
    Jun 5, 2014. 11:24 AM | Likes Like |Link to Comment
  • The Top Tactical Portfolios Based On 29 Asset Allocation Approaches [View article]
    The BPG&A "Year in Review - 2013 Commentary" that you provided shows an "8% Volatility Mandate" on their portfolio. I'm not sure how they implement that, but we do not impose an explicit volatility restriction on our model. That may account for some of the difference in returns.

    We have created an allocation model based on the general "adaptive" concept, but I'm sure we have diverged from their model, since they don't share an exact methodology. Our underlying models could be different in several ways: the number of asset classes used, the global asset classes chosen, the ETFs that represent those asset classes, the lookback periods, and the data sources.

    We publish 5 Adaptive Portfolio variations (A through E), and version D has been the best on an historical basis. It's had some bumps so far in 2014, so we will see how it holds up.
    May 1, 2014. 04:46 PM | Likes Like |Link to Comment
  • The Top Tactical Portfolios Based On 29 Asset Allocation Approaches [View article]
    #8 is a long-only portfolio which uses both risk and momentum metrics to re-allocate among a fixed set of asset classes every month.
    Feb 28, 2014. 05:09 PM | Likes Like |Link to Comment
  • The Top Tactical Portfolios Based On 29 Asset Allocation Approaches [View article]
    I just checked the link above and it works for me. Or try the link below (remove the spaces first):
    http:// papers.ssrn.com / sol3 / papers.cfm? abstract_id = 2328254
    Feb 27, 2014. 09:50 AM | Likes Like |Link to Comment
  • The Top Tactical Portfolios Based On 29 Asset Allocation Approaches [View article]
    The specific ETF holdings for each portfolio (including #8) are included in VizMetrics Report vm49. The ETF allocations for each portfolio in vm49 are updated monthly. Also, the overall approach for constructing a portfolio like #8 is described in the Butler-Philbrick-Gordillo paper (see reply to 6151621's comment, above).
    Feb 26, 2014. 10:41 AM | Likes Like |Link to Comment
  • The Top Tactical Portfolios Based On 29 Asset Allocation Approaches [View article]
    Thanks for your comment. We do plan some additional articles looking at some of these tactical approaches more closely. Since several of the top performers use the Adaptive Allocation, the link to the Butler-Philbrick-Gordillo paper (in the reply above) may be helpful.
    Feb 25, 2014. 11:31 AM | Likes Like |Link to Comment
  • The Top Tactical Portfolios Based On 29 Asset Allocation Approaches [View article]
    Thanks for the link. VizMetrics has independently implemented the Adaptive Allocation approach to be consistent with the full set of tactical approaches that we compare in Report vm22. We're not using the same allocation as Norbert Hendrikse at adaptiveportfolios.com, although there may be similarities.
    Feb 25, 2014. 11:26 AM | Likes Like |Link to Comment
  • The Top Tactical Portfolios Based On 29 Asset Allocation Approaches [View article]
    For more background on the Adaptive Allocation, please refer to the Butler-Philbrick-Gordillo paper from May 2012.
    http://bit.ly/1gf9Owc
    The paper describes the overall approach, data sources, and risk metrics.
    We have used this approach and brought the risk and return metrics up-to-date through January 2014. We will continue to publish monthly results in VizMetrics Report vm22.
    Feb 25, 2014. 11:16 AM | Likes Like |Link to Comment
  • The Top Tactical Portfolios Based On 29 Asset Allocation Approaches [View article]
    We agree that costs are a consideration with some of these portfolios.

    The challenge with quarterly rebalancing is that in order for some of these portfolios to be most effective, the momentum and risk indicators need to be considered more frequently than once every three months.
    Feb 25, 2014. 11:06 AM | Likes Like |Link to Comment
  • Rob Arnott's 'Ultimate' Asset Allocation Portfolio [View article]
    Thank you for the helpful suggestions!
    Feb 13, 2014. 05:54 PM | Likes Like |Link to Comment
  • Rob Arnott's 'Ultimate' Asset Allocation Portfolio [View article]
    Thanks for the feedback. As TAS points out above, it's true that some of these static allocations "work, until they don't." Thanks for the link to the article about asset allocation mistakes. It is key to have a longer time horizon and to hold assets with lower correlations.
    Feb 5, 2014. 04:21 PM | Likes Like |Link to Comment
  • Rob Arnott's 'Ultimate' Asset Allocation Portfolio [View article]
    We, too, agree that looking at more years would be helpful. One challenge is the relative newness of many of the ETF proxies that we use for measuring asset class returns. We can add mutual fund proxies but some of those don't go back far enough either. Another option is to use the index that underlies an ETF, assuming the index is older than the ETF. Please let us know if you know of other data sources we should consider for this analysis. Thanks!
    Feb 5, 2014. 04:16 PM | Likes Like |Link to Comment
  • Rob Arnott's 'Ultimate' Asset Allocation Portfolio [View article]
    We have found that Harry Browne's portfolio performs quite differently than the Arnott-inspired portfolio. Refer to the link in the comment below to access a full risk vs. return comparison chart. Unlike the Arnott portfolio, Browne's portfolio contains gold and no real estate.
    Feb 3, 2014. 05:34 PM | Likes Like |Link to Comment
  • Rob Arnott's 'Ultimate' Asset Allocation Portfolio [View article]
    We have this available. To see a comparison of PRPFX and 64 other asset allocation portfolios (as in Figure 2, above), download VizMetrics Report #vm03. This is a free PDF available as part of the VizMetrics Free subscription at http://bit.ly/1eOdMKs
    Feb 3, 2014. 05:21 PM | Likes Like |Link to Comment
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