Flav

Testing Forward Looking Asset Allocation

Geoff: Again, thank you very much for your quick response. I’ve been reading past articles from yours, and i have a few questions (i must apologise first, they aren't fully related to this article):
Does QPP estimate covariances, so that you can optimize using Excel's solver in order to build the model portfolio? If that's the case, you can compute the correlation coefficients between stocks (or assets)?

If you entered QPP the time series of, for example, the SPY, using the last year and a half data, did the tail risk signal this kind of drop?

Thanks in advance