manhapf

Getting the Most Return For Your Risk, Part 2

Geoff,

Really good articles; very thought provoking which I've been following for a while. In your 'do it yourself market neutral portfolio' you're able to do better than the 1:1 return:risk performance and still provide the benefits associated with a diversified portfolio of various assets; so, does this conflict your premise in 'getting the most return for your risk2' article?

Also, you cleverly base your QPP projections on forward-looking projections. When it comes to determining which asset classes and associated weights to include in a diversified, non-correlated portfolio, are you saying that the weights are altered based on their forward looking projections to maintain the 1:1 performance or are the classes and weights constant once you've determined them? If not, how often to you look ahead and rebalance the portfolio accordingly?

Thanks much,
Pete