Search found 399 matches

by pauliec84
Thu Jul 16, 2015 6:49 pm
Forum: Investing - Theory, News & General
Topic: Frontier Markets - 5% of portfolio?
Replies: 51
Views: 3224

Re: Frontier Markets - 5% of portfolio?

You can try adding in the combinations you want to test - annual series only starts in 2003 https://www.msci.com/resources/factshee ... ex-net.pdf For 75:25 stock:bond ETF portfolio I track in M*, with 13% of stock in EM it did not add much/anything - at least so far. Replacing EM with FM lowered r...
by pauliec84
Thu Jul 16, 2015 10:04 am
Forum: Investing - Theory, News & General
Topic: Frontier Markets - 5% of portfolio?
Replies: 51
Views: 3224

Re: Frontier Markets - 5% of portfolio?

. What EM mainly provided for a US tilted portfolio over this period was diversification (similar returns but low correlation). Robert, as always thanks for the thorough post. I think what is most appealing about frontier markets are their potential to, like emerging markets, provide another low co...
by pauliec84
Fri May 22, 2015 7:40 pm
Forum: Investing - Theory, News & General
Topic: Risk Factors: Variance Skewness Kurtosis
Replies: 9
Views: 1279

Re: Risk Factors: Variance Skewness Kurtosis

Thought this May be of Interest Higher Moment stats for risk factors: US 1957-2014 on Monthly Return Data MKT SMB HML UMD qmj Mean 0.53 0.21 0.36 0.71 0.33 Std 4.39 2.99 2.77 4.09 2.30 Skewness -0.54 0.55 0.01 -1.43 0.18 Kurtosis 1.13 -0.29 2.53 17.54 0.92 International 1990-2014 on Monthly Return D...
by pauliec84
Thu Apr 30, 2015 10:07 am
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 4327

Re: MSCI Diversified Multi-Factor Index

I like the idea/simplicity except for leaving out midcaps. Over the last decade seems there was as much or more return dispersion between micro/midcap/small/large as there was between value/growth or factors vs beta. I personally don't care much about SmB as a factor but do have concerns about cove...
by pauliec84
Mon Apr 27, 2015 6:08 pm
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 4327

Re: MSCI Diversified Multi-Factor Index

That ETF.com article states that iShares cancelled the domestic small cap ETF, but I'm not sure that they are correct about that, or where that information is coming from. I am not a specialist in mutual funds or ETFs, but I am a securities lawyer, and on Friday the 24th iShares Trust filed a Form ...
by pauliec84
Mon Apr 27, 2015 10:22 am
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 4327

Re: MSCI Diversified Multi-Factor Index

Just a quick point. All these new multi-factor indexes are great but it is worth keeping in mind we can get multi-factor exposure with some of our older ETF options... Here is a combination of 50% MTUM and 50% FNDA, and has a much smaller expense ratio to boot. MKT 1.03 SMB 0.20 HML 0.25 UMD 0.10 QM...
by pauliec84
Mon Apr 27, 2015 9:48 am
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 4327

Re: MSCI Diversified Multi-Factor Index

What are the best candidates for these slots? I use QEMM for EM, thinking about IESM for US Small. FWIW my take is as follows: 1) If you have access to AQR funds this is best multi-factor approach. 2) I don't like the Quality Mix funds as they give you very minimal exposure to factors (see below). ...
by pauliec84
Mon Apr 27, 2015 7:45 am
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 4327

Re: MSCI Diversified Multi-Factor Index

Portfolio rebalanced twice per year, but turnover will be capped at 20 percent at each rebalance, so perhaps trade costs will be kept fairly low. I missed this tidbit. Assuming 1bp of costs per expense of turnover that is not to bad. Plus ishares has shown that they can track well. With that said, ...
by pauliec84
Sat Apr 25, 2015 11:09 am
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 4327

Re: MSCI Diversified Multi-Factor Index

For those interested ishares just made a new announcement about the new ETFs (http://www.etf.com/sections/daily-etf-watch/daily-etf-watch-smart-beta-facelift). Sadly there will be no domestic small or emerging market multi-factor ETFs. The fees are reasonable if a little high. Here are loadings for ...
by pauliec84
Fri Apr 24, 2015 9:11 am
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 130
Views: 13123

Re: PXSV has changed indexes

Annualized return/annualized standard deviation - August 1998 - December 2014 (just to note the equity, size, and value premiums were all positive over this period). 14.5%/22.3 = RAFI Fundamental Small Value (the index currently tracked by PXSV) 13.3%/19.4 = Russell Fundamental Small Cap 11.1%/17.9...
by pauliec84
Wed Apr 08, 2015 9:34 am
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 4327

Re: MSCI Diversified Multi-Factor Index

I'm more interested in the international options than the US ones honestly, given the relative lack of alternatives. These both look potentially interesting: iShares MSCI Global Multi-Factor ETF iShares MSCI Emerging Multi-Factor ETF Unfortunately I don't have the free time to look into this right ...
by pauliec84
Tue Apr 07, 2015 11:39 pm
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 4327

Re: MSCI Diversified Multi-Factor Index

I think this likely points to PRFZ/SFSNX sprinkled with QSMLX and VSIAX for me. With no limitations to funds I see the domestic small cap value space as this: DFSVX/QSMLX (best) PRFZ/SFSNX (pretty good) VSIAX/VBR/IJS (good enough) Russell small cap pure value: I have no idea yet. Any idea what the ...
by pauliec84
Mon Apr 06, 2015 6:07 pm
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 4327

Re: MSCI Diversified Multi-Factor Index

For a factor-matched portfolio, the expected return should be the same. Choose one with lowest cost. Not sure what the trade costs (market impact and bid-ask spreads) will be for the MSCI multi-factor funds. For the AQR small cap multi-factor version, Frazzini et al estimated these costs to be 2.4%...
by pauliec84
Mon Apr 06, 2015 12:35 pm
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 4327

Re: MSCI Diversified Multi-Factor Index

For me personally, value load too small to consider (relative to other options) given my overall portfolio value load target = 0.4. Nevertheless, will be interesting to see how it performs going forward. I shoot for a similar loading. I need to work though the numbers, but I think there may be a ca...
by pauliec84
Sun Apr 05, 2015 12:50 am
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 4327

Re: MSCI Diversified Multi-Factor Index

Don't know when the funds will be available. Hopefully soon.

per looking at index. They are in the index section of the msci website. If you are having trouble I can send them to you.
by pauliec84
Sat Apr 04, 2015 8:10 pm
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 4327

MSCI Diversified Multi-Factor Index

ishares recently announced they would be introducing new ETFs that follow the MSCI Diversified Multi-Factor Index (http://www.zacks.com/stock/news/161653/ishares-proposes-variety-of-multifactor-etfs). MSCI finally updated their website to include data on the indexes back through 1998. Here is the in...
by pauliec84
Sun Mar 29, 2015 9:14 pm
Forum: Investing - Theory, News & General
Topic: Interest in multi asset class investing and crises
Replies: 11
Views: 997

Re: Interest in multi asset class investing and crises

Basic finance. Diversification lowers non-systemic risk. It does nothing for systemic risk. We've done complicated and we've done simple. The simpler the better. I once looked at correlations between SmB, HmL, and market during some of the bad times for equities in the French data library. The lack...
by pauliec84
Fri Mar 27, 2015 8:59 pm
Forum: Investing - Theory, News & General
Topic: Interest in multi asset class investing and crises
Replies: 11
Views: 997

Re: Interest in multi asset class investing and crises

International correlation went to went during the mosto recent crises. Let us look at the most recent crises (I'll use Jan 2008 to March 2009 returns) to see if asset classes and factors go to 1 during a crises. Stocks vs. Bonds. Stock ~ -50% Return, Bonds Positive Return, Bonds vs Stocks ~0 correla...
by pauliec84
Thu Mar 26, 2015 11:31 pm
Forum: Investing - Theory, News & General
Topic: New all-world Small-Cap multi-factor ETF
Replies: 4
Views: 731

Re: New all-world Small-Cap multi-factor ETF

An answer for the non-DFA slice 'n dicers? For 60bp? Heard it on Bloomberg and couldn't resist posting. Have at it! http://www.latticestrategies.com/strategies/LROGSX.html http://www.latticestrategies.com/PDFs/indexes/LatticeStrategies_LROGSX_3-23-15.pdf I was actually looking at this the other day...
by pauliec84
Thu Mar 26, 2015 11:19 pm
Forum: Investing - Theory, News & General
Topic: Best Small Cap Value Funds (Poll)
Replies: 28
Views: 4252

Re: Best Small Cap Value Funds (Poll)

No one mentioned VTWV? :confused Here's Paul Merriman's take on the Russell 2000 Index: http://paulmerriman.com/not-vanguard-fu ... ted-equal/ Russell 2000 is a notoriously terrible index. And sorry, but that Merriman article was quite shady in choosing DFSVX as the comparisons for VTWV. And by qui...
by pauliec84
Thu Mar 26, 2015 9:42 am
Forum: Investing - Theory, News & General
Topic: Swedroe-type portfolio: downside risk vs tracking error risk
Replies: 40
Views: 6756

Re: Swedroe-type portfolio: downside risk vs tracking error

JohnnyFive wrote:Robert, what sort of Alpha did you turn up in your analysis of the underlying index for MTUM? Zero - at least according to this earlier analysis viewtopic.php?p=2340505#p2340505 Have you tried running the data since index inception (1975). Including data from the 70s, lowers alpha ...
by pauliec84
Thu Mar 19, 2015 6:08 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 130
Views: 13123

Re: PXSV has changed indexes

Thought everyone might be interested in this in terms of PXSV replacements. New "MSCI Introduces Diversified Multi-Factor Indexes":http://www.morningstar.com/advisor/t/103456936/msci-introduces-diversified-multi-factor-indexes.htm Unfortunately MSCI does not have historic data for the inde...
by pauliec84
Thu Mar 19, 2015 11:53 am
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 130
Views: 13123

Re: PXSV has changed indexes

Response from Powershares yesterday - I had asked about availability of backtested data on Russell 2000 Pure Value - "Sorry for the delay, as we were checking with Russell on what will be made available and when. ... Russell expects in roughly a month to have this data available to send to int...
by pauliec84
Tue Mar 17, 2015 6:49 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 130
Views: 13123

Re: PXSV has changed indexes

Not really. See: https://www.portfoliovisualizer.com/fac ... ctor=false FNDA has had an almost non-detectable value load since inception, but hard to say as it's not stat-significant. MTUM has a bit of negative value and some ugly negative alpha, -3.5% pa and it's almost stat-significant. I have re...
by pauliec84
Mon Mar 16, 2015 12:37 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 130
Views: 13123

Re: PXSV has changed indexes

Sorry bout that. Link should be fixed here (and in original post): https://www.portfoliovisualizer.com/factor-analysis?s=y&includeBondFactors=false&endDate=03%2F15%2F2015&symbols=IWN+IWO+IWM&rollPeriod=36&includeQualityFactor=false&factorDataSet=0&factorModel=4&market...
by pauliec84
Mon Mar 16, 2015 12:28 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 130
Views: 13123

Re: PXSV has changed indexes

I'd say it is still significant. Since 2009 negative alphas on the value and regular index are negative at a statistic and economically significant level. https://www.portfoliovisualizer.com/factor-analysis?s=y&includeBondFactors=false&endDate=03%2F15%2F2015&symbols=IWN+IWO+IWM&rollP...
by pauliec84
Mon Mar 16, 2015 10:21 am
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 130
Views: 13123

Re: PXSV has changed indexes

I think this makes a compelling case to mildly diversify amongst SCV funds. You wouldn't want a SCV fund to tilt to value a certain way only to watch it underperform for a decade and then change strategies. P/B, P/S, P/CF, and P/D can have quite variable returns. Best to include some value funds wi...
by pauliec84
Sun Mar 15, 2015 9:33 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 130
Views: 13123

Re: PXSV has changed indexes

I found some information on the underlying index from the Powershares SEC Filing about the new funds http://www.sec.gov/Archives/edgar/data/1209466/000119312515091387/d888553d485apos.htm#toc888553_6. It sounds like an Russell 2000 version of the S&P 600 Pure Value, although I am a bit confused b...
by pauliec84
Sat Mar 14, 2015 3:28 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 130
Views: 13123

Re: PXSV has changed indexes

I did a look for data on the Russell 2000 Pure Value Index but cannot find any. If anyone finds the data I am happy to run the appropriate factor regressions. My guess is that is that it will be similar to the RZV pure factor loadings. Will be interesting to see if it hit with the negative alpha as ...
by pauliec84
Wed Feb 11, 2015 9:21 am
Forum: Investing - Theory, News & General
Topic: Best Small Cap Value Funds
Replies: 43
Views: 4818

Re: Best Small Cap Value Funds

Does anyone have an example of a fund that let a waiver expire, and fund owners faced an increase in net fee? This would be nice to know. It is a little off topic but I have thought about buying a minimum volatility fund in the emerging market space as a substitute for larger value given with the h...
by pauliec84
Tue Feb 10, 2015 11:02 am
Forum: Investing - Theory, News & General
Topic: Investing in Russia / Emerging Markets
Replies: 6
Views: 756

Re: Investing in Russia / Emerging Markets

And it makes me wonder about corruption in the other EM countries and how this affects the investments. I know that corruption is very common in China and Russia which have much higher shares in the EM index. Ideally (depending on how efficient the market actually is), as the corruption in the EM c...
by pauliec84
Mon Feb 09, 2015 10:21 pm
Forum: Investing - Theory, News & General
Topic: Investing in Russia / Emerging Markets
Replies: 6
Views: 756

Re: Investing in Russia / Emerging Markets

I have almost 6 figures invested in Vanguard Emerging market funds, which I know includes a fair share in Russia. Not such a big russian stake... I would tune out the noise. Per Vanguard Website FTSE Emerging Markets ETF China 24.4% Taiwan 14.3% India 11.7% Brazil 10.7% South Africa 9.5% Mexico 5.6...
by pauliec84
Wed Feb 04, 2015 1:29 pm
Forum: Investing - Theory, News & General
Topic: RAFI and Quality
Replies: 8
Views: 1312

Re: RAFI and Quality

I found it interesting that RZV loads pretty high in Quality; 0.52 since 2006. What to make of this? Here we have a fund that loads on both value and quality. What's not to like? From S&P 500 Pure Value FactSheet: "We derive value scores using three factors: the ratios of book value, earni...
by pauliec84
Tue Feb 03, 2015 10:56 am
Forum: Investing - Theory, News & General
Topic: RAFI and Quality
Replies: 8
Views: 1312

Re: RAFI and Quality

...I would suggest that it may be responsible for the negative momentum as well. It's pretty much certain to eliminate positive momentum isn't it. If the share price goes up but fundamentals haven't, the methodology will result in fewer shares being held and you are going to benefit from the moment...
by pauliec84
Tue Feb 03, 2015 9:20 am
Forum: Investing - Theory, News & General
Topic: RAFI and Quality
Replies: 8
Views: 1312

Re: RAFI and Quality

How by the way does one calculate the loads on a RAFI index? I know you said the data is from J. Hsu of Research Affiliates. Can you give me an outline of the process from there? Is there a writeup on how to do it? Download RAFI monthly data from J. Hsu website, then download the monthly factor ret...
by pauliec84
Mon Feb 02, 2015 4:32 pm
Forum: Investing - Theory, News & General
Topic: RAFI and Quality
Replies: 8
Views: 1312

Re: RAFI and Quality

Just a quick note. I ran the fundamental data from Hsu's website back through 1964 using the AQR QMJ definition. The quality coefficient is a bit higher in this data set. Alpha -0.04 MKT 1.05 SMB 0.00 HML 0.41 UMD -0.12 QMJ 0.19 Any idea about the quality load on the small funds (such as PRFZ and PD...
by pauliec84
Sun Feb 01, 2015 11:26 pm
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 28
Views: 2538

Re: iShares Files for Intl Quality and Momentum Factor ETFs

You're right, I knew that QMJ/PMU were about 4% annually. More than small, about the same as value, and less than market and momentum. I don't know why I said it was the smallest. I still don't think there's a good risk story. IIRC the AQR core equity funds put about 40% importance on value, 40% mo...
by pauliec84
Sun Feb 01, 2015 10:29 pm
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 28
Views: 2538

Re: iShares Files for Intl Quality and Momentum Factor ETFs

How though do you get the factors for the index? Are you calculating these? If so, how (may I ask please)? CRSP and MSCI put there indexes online available to public. You can download fama french and aqr factors from websites and figure out the loads. A lot of RAFI indexes are online, I have not be...
by pauliec84
Sun Feb 01, 2015 1:54 pm
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 28
Views: 2538

Re: iShares Files for Intl Quality and Momentum Factor ETFs

Quality is the weakest of the factors and has the weakest risk story, maybe even nonexistent. I think value, size, and momentum should be the focus. I just checked the data and do not agree with this statement. Below please see Return & Standard Devation Numbers for the factors from July 1957 t...
by pauliec84
Sun Feb 01, 2015 11:49 am
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 28
Views: 2538

Re: iShares Files for Intl Quality and Momentum Factor ETFs

$107.8MM, isn't it? According to ishares website IEIS AUM is $8,729,854 as of 1/30/2015. Not sure what you are thinking of with the 107m. I am having a tough time following this exactly. I see PDN and SFILX having negative momentum until 2012 and then that switching to around zero (PDN) or positive...
by pauliec84
Sun Feb 01, 2015 12:07 am
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 28
Views: 2538

Re: iShares Files for Intl Quality and Momentum Factor ETFs

How does IEIS stack up? iShares Enhanced International Small-Cap ETF attempts to capture quality, value, and size factors. Just accidently closed out a 10 minute response to this one. Here is the short version. I briefly owned IEIS but sold it the bitter task of acknowledging I had made a mistake a...
by pauliec84
Sat Jan 31, 2015 3:03 pm
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 28
Views: 2538

Re: iShares Files for Intl Quality and Momentum Factor ETFs

PS. The alphas on the US momentum from 1975-2014 = -0.02 (t-stat=-0.31). That corresponds to what I am getting, nice to have confirmation that I have finally navigated the MSCI website correctly. June 1995-December 2014 longest period of data available for MSCI World-ex US Momentum I was incorrectl...
by pauliec84
Sat Jan 31, 2015 12:44 pm
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 28
Views: 2538

Re: iShares Files for Intl Quality and Momentum Factor ETFs

Alpha -0.22% Monthly. MKT = 1.04 SMB = -0.21 HML = -0.01 UMD = 0.32 Just a quick correction. I was accidently dowloading "net indexes" rather than "gross index" returns. I think the gross index is the the proper data to use from MSCI website. This changes the alphas on the US Mo...
by pauliec84
Sat Jan 31, 2015 1:16 am
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 28
Views: 2538

Re: iShares Files for Intl Quality and Momentum Factor ETFs

What are the risks? Just the possibility of the fund closing if it doesn't attract enough investors or some other things I'm not thinking of? iShares seems to do a nice job of keeping bid/ask spreads pretty tight on their new funds with low AUM. 1) Main risk is that fund closes and you take cap gai...
by pauliec84
Fri Jan 30, 2015 1:06 pm
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 28
Views: 2538

Re: iShares Files for Intl Quality and Momentum Factor ETFs

R2 = 0.85 Alpha -0.21 Monthly (~ -2.5 Annually) This is the bad news. MKT = 0.95 SMB = -0.06 HML = -0.06 UMD = 0.47 (The good news) I just checked to see if the high momentum load for the international MSCI momentum fund was time dependent as the US fund only has a ~0.30 momentum load. When the US ...
by pauliec84
Fri Jan 30, 2015 12:27 pm
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 28
Views: 2538

Re: iShares Files for Intl Quality and Momentum Factor ETFs

Thanks. I changed over from PIZ (Powershares int MOM) yesterday after seeing your post. Since the ask was about the NAV as displayed by Morningstar, I figured I was paying fair value. Wow, slowest order fill ever. After a couple minutes though, order fills for exactly 100 shares started coming in ....
by pauliec84
Fri Jan 30, 2015 10:55 am
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 28
Views: 2538

Re: iShares Files for Intl Quality and Momentum Factor ETFs

I just download the momentum index history from the ishares website (http://www.msci.com/products/indexes/strategy/factor/momentum/performance.html) and calculated the factor loading data via Ken French Global ex-US factors. Good news and bad news. From 1991 to present using Fama French Data R2 = 0....
by pauliec84
Wed Dec 31, 2014 10:31 am
Forum: Investing - Theory, News & General
Topic: Frazzini-Pederson vs. Fama French Factors Question
Replies: 3
Views: 577

Re: Frazzini-Pederson vs. Fama French Factors Question

Thanks for the input. Stlulz. I do agree that the AQR HML dev is much more intuitively appealing, as you said, it more accurately represents what is understood by the market at the time. This (and AQR research papers) are what drew me to it. Out of curiosity do you know if most value index funds use...
by pauliec84
Wed Dec 31, 2014 1:45 am
Forum: Investing - Theory, News & General
Topic: Frazzini-Pederson vs. Fama French Factors Question
Replies: 3
Views: 577

Frazzini-Pederson vs. Fama French Factors Question

I have recently set to the task of calculating factor loadings of various indices. I download the monthly factor data from AQRs website (https://www.aqr.com/library/data-sets/quality-minus-junk-factors-monthly) and have been getting VERY different results depending on if I use the AQR HML dev factor...
by pauliec84
Fri Dec 26, 2014 4:25 pm
Forum: Investing - Theory, News & General
Topic: Factor Loadings Optimization given investable ETFs
Replies: 0
Views: 402

Factor Loadings Optimization given investable ETFs

Did some analysis today that I thought some would be interested in. I felt that it shed some light into some of the Robert T's / Cliff A. / Larry S. discussion on combining value and momentum together. I also think all sorts optimization based on backward looking correlation relationships needs to b...

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