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!

Tactical Asset Allocation, Part I

Geoff, since Vernl brought it up, why does QPP use standard deviation to measure/analyze risk as opposed to downside deviation? It seems to me that an investment that has a high standard deviation but low downside deviation would be quite different than an investment with identical standard deviation but higher downside deviation. If you are using normal distribution of returns, as I believe QPP is, then standard deviation and normal distribution may not paint the most accurate picture. Just curious.