Flav

The Road Ahead for Investors

Geoff, great article (as always). You made me wait almost a month since the last one you wrote, please write more often!! :)

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

Testing Forward Looking Asset Allocation

Geoff: How would shorting stocks affect the analysis? Considering than when you short, you profit when the stock goes down, it would have a negative correlation with the other portfolio assets, and therefore, coud short-sale improve the risk/return profile of the portfolio?

Thanks in advance

Tactical Asset Allocation, Part I

Geoff: i hope you don't get tired of my posts, but i have to tell you, once again, great article!!!!!!!

Defining a Set of Core Asset Classes

Hello Geoff:

Thank you very much for your quick response. It does clarify.
I'm an economics and finance student, and i often have discussions with classmates and friends about several subjects regarding portfolio management. I must say that i have used some of your articles to support some of my arguments. I believe that for long term planning, there's nothing better than the analysis being made in your articles. But suppose that some investor or trader has a shorter time horizon; that person is willing to take on larger risks, in order to achieve larger returns. Would you still recommend this individual to diversify? Or given the shorter time frame and less risk aversion, should this investor have a more concentrated portfolio?

Again, thank you very much

Looking forward to read more of your articles

Defining a Set of Core Asset Classes

Hi Geoff. I made a question to you in other article that wasn't answered, so i will reformulate it in this one.
You say that hisorical data is of no use, but in order to obtain forward looking assets class combinations with QPP, you have to enter past information about those assets classes. So, as i asked before, to determine the correct weight asigned to each holding (the way that produces the highest return with a given level of risk), should the oldest available information be introduced? or is it sufficient with just a few years back?

Choosing Your Portfolio Risk Tolerance

Geoff:

Great article. Have one question for you: if you used historical data from a larger range than 5 years, let's say 20 years, would the assets' weight be more accurate? Or does the equal-weight still outperform?