quaazy1

What's the Good of Hedge Fund Indexes and Fund of Funds?

So, I have a general question concerning the analysis of the HFRI FOF composites. The annualized standard deviation and return of the historical data for the HFOF Conservative Index is StDev 4%, Ret 7%. There is a loss of 18% over the last 12 months within that data. That's something like a 6 standard deviation event. Is this evidence that one should not use the "Index" as the model (source of return and volatility estimates) when considering whether or not to include a conservative hedge fund in your portfolio in a classic mean variance optimization? It seems to me whether or not you believe in CAPM, some how the volatility of that index was dampened. Maybe it's how it is constructed??

Using Software to Gauge Hedge Fund Risk

So, I have a general question concerning the analysis of the HFRI FOF composites. The annualized standard deviation and return of the historical data for the HFOF Conservative Index is StDev 4%, Ret 7%. There is a loss of 18% over the last 12 months within that data. That's something like a 6 standard deviation event. Is this evidence that one should not use the "Index" as the model (source of return and volatility estimates) when considering whether or not to include a conservative hedge fund in your portfolio in a classic mean variance optimization? It seems to me whether or not you believe in CAPM, some how the volatility of that index was dampened. Maybe it's how it is constructed??

Tracking 9 ETF Portfolios

"The famous professors at Yale have proven that asset allocation accounts for 90% of a portfolio’s return "...

I think that they suggested that it AA accounts for 90% of a potfolio's return VARIATION.

The Dummy's Guide to the U.S. Financial Crisis

It started with the Community Reinvestment Act in 1977, which was substantially strengthened in 1995 by Cuomo and Clinton.

The Follies of Academic Finance

Why is it that a 260% return on a small portfolio is inferior to a 260% return on a large portfolio?? Investors have to start somewhere... If I don't have several million $, I can still get that 260% return on what I do have...

Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility

Sorry to be so basic, but... Does that mean that your model took the
-4% hit through November??? I can't get the math to work out anywhere near what your paper suggests on a cumulative basis unless I trick the model to get out of the market BEFORE the Nov 2007 drop of -4%, for example (working back through history...)

Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility

Let me restate the question... What was the most recent month that the S&P timing model signaled a move to cash?

Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility

Not sure if I did this right, but I show a lower return for the timing model on the S&P using a 10 month trailing SMA for data from 1/1926 to current... What month did the S&P timing model signal a move to cash?

Using Default Risk to Limit Downside in Individual Stock Investing

Thanks,

Does the Monte Carlo engine take correlation into account (say between US vs International equity of about .6 to .8) when it's "Monte Carlo"ing the future, or is each asset's Monte Carlo random draw independent of the correlation matrix?? Put another way, if the random draw for the first year for US stocks is 6%, is the correlation between US and International stocks taken into account when drawing the International stock's return?

Using Default Risk to Limit Downside in Individual Stock Investing

I have been considering buying the QPP, but I have a question about the Monte Carlo tool... How is the serial correlation (the tendency to run positive for a while, then negative for a while, etc...) of an individual asset (SPY) dealt with in the Monte Carlo simulation?