NO DooDahs

Choosing Your Portfolio Risk Tolerance

Nice elaboration on two of the seven risks I wrote about last week:
www.billakanodoodahs.c.../

Personally I believe that your "risk class 2," what I described as "Risk is Not Achieving My Benchmark," is the primary risk that we need to be concerned with when assembling a portfolio or designing an active strategy.

Of the regular contributors to SA, your work is probably THE most helpful to the sophisticated retail trader. Thanks.

Defining Alternative Asset Classes

Would be nice to have the interval and timeframe of the correlation calculation shown. Without it, correlation coefficients are meaningless.

Ex; it could be a correlation of 60-minute bars (interval) over the last 22 trading days (timeframe) [yes, a facetious example], it could be daily over the last year, daily over the last two years, etc.

There's nothing to say that what was correlated over the last 22 trading days, year, or two years, has any correlation over the last 10, 15, or 20 years.

If we're talking in general terms about blending non-correlated strategies, it helps to define our terms and get our timeframes of correlation measurement in line with the timeframes over which we execute the strategy ...

Mean Reversion: When There Is Blood In the Streets, It's Time To Buy

Human nature doesn't change. The mentioned anomalies, along with dozens of others, will continue to work. The only "efficiency" in the markets is the movement of money from those who don't understand this ... to those who do.