Gary Holdsworth

Portfolio Building With Forward Looking Asset Allocation

Geoff,
Congrats! You have written one of the best blog articles I have ever read on the perils of performing asset allocation via looking through the rear view mirror. I used to do asset allocation based on historical mean-variance optimization, and the results were nearly always disappointing as you attested. I look forward to reading more of your stuff. Keep up the good work.
Gary Holdsworth