SmartETF

Managing Portfolio Allocations With ETFs

Where are your asset classes? You have 11 industries, yet you have 10.8% in financials. What about foreign securities? What about real estate, commodities, or alternatives? Secondly, where is the investment selection process? I don’t see how any asset allocation software could deliver the asset allocation mix you own. Thirdly, where is your risk management? If you change your risk model to Conditional VaR (Expected Shortfall) and weight your data using GARCH you would have avoided financials all together.
Diversifying assets following the concepts asset allocation is not true portfolio optimization. You might enjoy reading Mandelbrot’s book ‘The (Mis) Behavior of Markets to better understand the newer asset allocation strategies like Extreme Value Theory. Cheers