CPWalmsley

Tactical Asset Allocation, Part I

Thanks Geoff.

Would you say, then, that reducing volatility as measured by standard deviation, by default reduces risk as measured by downside deviation?

If so, constructing a portfolio that maximizes return for risk, as measured by standard deviation, would still be inherently efficient.

In regards to TAA, which the article is about, have you read "A Quantitative Approach to Tactical Asset Allocation" by Mebane T. Faber (it is available on cambriainvestments.com I believe)? Just wondered what you thought of the research.

Thanks Again! Keep up the great work!