Search found 1233 matches

by hdas
Wed Nov 13, 2019 9:30 am
Forum: Investing - Theory, News & General
Topic: Vgd alt strategies fund (vasfx) open to retail investors?
Replies: 58
Views: 5376

Re: Vgd alt strategies fund (vasfx) open to retail investors?

Here’s what they say in the advisors website: Effective today, the fund has adopted a new risk methodology that targets a fixed range of volatility set by the fund manager. This fixed range of volatility may change from time to time. The fund manager will consider risk levels of the individual strat...
by hdas
Tue Nov 12, 2019 9:45 pm
Forum: Personal Investments
Topic: Searching for broad ETF that tilts value
Replies: 11
Views: 355

Re: Searching for broad ETF that tilts value

New here. SItuation: My wife's Roth is currently in QQQ and VXUS. Bond-like things elsewhere. I'm searching for an ETF that is broad, has some mid/small cap presence, tilts a bit value,defensive oriented. Trying not to replicate the main holdings of QQQ (Apple, Microsoft, Amazon, Facebook, Intel, A...
by hdas
Tue Nov 12, 2019 1:52 pm
Forum: Investing - Theory, News & General
Topic: Things you should know about minimum volatility investing
Replies: 44
Views: 5049

Reduce LV exposure to Term risk - XRLV ETF

Good info overall but the following ranges from unsubstantiated theory to hogwash: 4. LVPs' alpha is not the result of a magic formula, but is instead driven by persistent behavioral effects that cause markets to be inefficient. In the growing amount of literature on this subject, explanations for ...
by hdas
Tue Nov 12, 2019 9:26 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 331
Views: 37803

Re: International Small Cap Value

For those true believers, what International SCV funds do you hold? Im not a true believer, I use ISCF. I believe international small cap value has benefited the most in the recent value rebound. Cheers :greedy ISCF has large negative value exposure according with both FF and ARQ factors (not stati...
by hdas
Tue Nov 12, 2019 9:22 am
Forum: Personal Investments
Topic: Is CPOAX (Morgan Stanley Insight) the best growth fund out there?
Replies: 40
Views: 2400

Re: Is CPOAX (Morgan Stanley Insight) the best growth fund out there?

Tremendous under-performance (relative to a simple large growth index ETF) since the inception of this thread :twisted:

Image

Cheers
by hdas
Tue Nov 12, 2019 9:16 am
Forum: Investing - Theory, News & General
Topic: Long Term Bonds getting killed today
Replies: 68
Views: 8305

Re: Long Term Bonds getting killed today

What a day :twisted: , as of this moment: TMF - 3X Leverage LTT > -6.75% Ultrabond Futures > -2.74% (Measured from settlement) EDV (LTT Strips) > -3.52% The CBOE 30y yield index is at 2.441%....perhaps time to "wet your beak" . Cheers :greedy Is anyone holding Ultrabond Futures as part of a risk pa...
by hdas
Tue Nov 12, 2019 9:08 am
Forum: Investing - Theory, News & General
Topic: Rich people are hoarding cash
Replies: 136
Views: 19824

USB survey confirms

A majority of rich investors expect a significant drop in markets before the end of next year, and 25% of their average assets are currently in cash, according to a survey of more than 3,400 global respondents. The U.S.-China trade conflict is their top geopolitical concern, while the upcoming Amer...
by hdas
Tue Nov 12, 2019 9:06 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 331
Views: 37803

International Small Cap Value

MotoTrojan wrote:
Mon Nov 04, 2019 7:51 pm
For those true believers, what International SCV funds do you hold?
Im not a true believer, I use ISCF. I believe international small cap value has benefited the most in the recent value rebound. Cheers :greedy
by hdas
Sat Nov 09, 2019 10:45 am
Forum: Investing - Theory, News & General
Topic: Vgd alt strategies fund (vasfx) open to retail investors?
Replies: 58
Views: 5376

Re: Vgd alt strategies fund (vasfx) open to retail investors?

When I look on the institutional and advisors sites, it says nothing about be closed to new investors. It only states "This fund is not available for health savings accounts, 529 plans, or defined contribution plans." Fact sheet says AUM is $319 MM. For these strategies, I'm not sure if this is get...
by hdas
Sat Nov 09, 2019 10:44 am
Forum: Investing - Theory, News & General
Topic: Long Term Bonds getting killed today
Replies: 68
Views: 8305

Re: Long Term Bonds getting killed today

nisiprius wrote:
Sat Nov 09, 2019 6:34 am

So the question is: who should care about "long term bonds getting killed today," and why?
The LETF crowd. A chunk of this years gains was gone this week. Cheers :greedy
by hdas
Fri Nov 08, 2019 10:30 pm
Forum: Investing - Theory, News & General
Topic: Long Term Bonds getting killed today
Replies: 68
Views: 8305

Re: Long Term Bonds getting killed today

Among people in the forum advocating the use of long-term bond funds, the commonest reason given is negative correlation with stocks. They feel confident in the persistence of negative correlation between stocks and bonds, so they use the longest-term bond vehicles they can find, so they can get th...
by hdas
Fri Nov 08, 2019 1:06 pm
Forum: Investing - Theory, News & General
Topic: Long Term Bonds getting killed today
Replies: 68
Views: 8305

Re: Long Term Bonds getting killed today

I still believe rates will move down from here or at the very least remain steady. Last year ppl were convinced of higher rates, this year lower rates. Perhaps we are going to keep oscillating between 3.5% - 2%. However, given than most are convinced that a recession is coming, I find that the scen...
by hdas
Fri Nov 08, 2019 1:03 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 331
Views: 37803

Re: Small Cap Value heads Rejoice !!!

In my opinion, 15 years is more valid than 10. And 22 years (which includes TWO Bear markets which, BTW, IJS itself did not suffer through), even more valid. I don't think this is necessarily true, to some degree you want a fund that sticks to a certain exposure but on the other hand you care about...
by hdas
Fri Nov 08, 2019 12:16 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 331
Views: 37803

Re: Small Cap Value heads Rejoice !!!

Forester wrote:
Sat Sep 28, 2019 4:57 am
Great discussion on the chances of value making a comeback between Toby Carlisle & Josh Brown (coarse language at times) https://youtu.be/-cG2BvJQnJU
Thanks for sharing. Cliff Assness might have jinxed the recent run with his “sin a little” recent note. Cheers :greedy
by hdas
Fri Nov 08, 2019 12:11 am
Forum: Investing - Theory, News & General
Topic: "Steelmanning" the case for owning individual stocks
Replies: 137
Views: 15699

Re: "Steelmanning" the case for owning individual stocks

taojaxx wrote:
Sun Oct 13, 2019 1:19 pm
How about you buy DVOL, leave it at that and spend quality time with friends and family?
Just a thought 8-)
Check DVOL recent performance :twisted:
by hdas
Thu Nov 07, 2019 12:51 pm
Forum: Investing - Theory, News & General
Topic: Long Term Bonds getting killed today
Replies: 68
Views: 8305

Long Term Bonds getting killed today

What a day :twisted: , as of this moment:

TMF - 3X Leverage LTT > -6.75%
Ultrabond Futures > -2.74% (Measured from settlement)
EDV (LTT Strips) > -3.52%

The CBOE 30y yield index is at 2.441%....perhaps time to "wet your beak".

Cheers :greedy
by hdas
Wed Nov 06, 2019 1:34 pm
Forum: Investing - Theory, News & General
Topic: [NEW] Momentum Fund: Newfound/ReSolve Robust Momentum ETF
Replies: 3
Views: 277

Re: [NEW] Momentum Fund: Newfound/ReSolve Robust Momentum ETF

I've seen evidence that trend-following like this can improve risk-adjusted returns, but I haven't seen any evidence that there is a single, robust signal (or magical combination of signals) that is better than any random signal you could come up with and stick to. So what secret sauce would an own...
by hdas
Wed Nov 06, 2019 12:37 pm
Forum: Investing - Theory, News & General
Topic: [NEW] Momentum Fund: Newfound/ReSolve Robust Momentum ETF
Replies: 3
Views: 277

[NEW] Momentum Fund: Newfound/ReSolve Robust Momentum ETF

Link Ticker ROMO CUSIP 86280R886 Inception 11/1/2019 Exchange CBOE BZX Net Expense Ratio2 0.87% Gross Expense Ratio 1.39% Holdings: ISHARES CORE S&P 500 ETF IVV 67.553796% ISHARES 7-10YEAR IEF 19.423071% ISHARES 1-3 YEAR ETF SHY 0.645249% ISHARES CORE MSCI EAFE ETF IEFA 12.377884% Some highlights: ...
by hdas
Tue Nov 05, 2019 10:21 pm
Forum: Investing - Theory, News & General
Topic: Ray Dalio’s latest fearmongering round
Replies: 171
Views: 23483

World Has Gone Mad’ With So Much Free Money

World Has Gone Mad’ With So Much Free Money Linkedin Article Money is free for those who are creditworthy because the investors who are giving it to them are willing to get back less than they give. More specifically investors lending to those who are creditworthy will accept very low or negative i...
by hdas
Tue Nov 05, 2019 10:07 pm
Forum: Investing - Theory, News & General
Topic: Vgd alt strategies fund (vasfx) open to retail investors?
Replies: 58
Views: 5376

Re: Vgd alt strategies fund (vasfx) open to retail investors?

grok87 wrote:
Tue Nov 05, 2019 6:59 pm
VASFX minimum now $50k
https://investor.vanguard.com/mutual-fu ... fees/vasfx
It says
Closed to new investors
:confused
by hdas
Tue Nov 05, 2019 9:58 pm
Forum: Personal Investments
Topic: ACWV vs VMVFX for taxable account
Replies: 7
Views: 417

Re: ACWV vs VMVFX for taxable account

For taxable account, which one between ACWV and VMVFX makes sense to buy. I want to buy one of these to reduce volatility at the likely cost of performance during bull markets. Not sure which one will be more efficient to buy in taxable account to minimize tax hit. Thanks No doubt ACWV. VMVFX is ex...
by hdas
Tue Nov 05, 2019 12:20 am
Forum: Investing - Theory, News & General
Topic: Jim Simons and Renaissance Technologies
Replies: 9
Views: 992

Re: Jim Simons and Renaissance Technologies

I know Cliff Asness at AQR thinks very highly of Renaissance Technologies. Truly successful hedge funds are in the minority and it is an open question if hedge funds as a group are even worth consideration as an investment. Efforts at applying hedge fund techniques to retail mutual funds have met w...
by hdas
Tue Nov 05, 2019 12:03 am
Forum: Investing - Theory, News & General
Topic: Jim Simons and Renaissance Technologies
Replies: 9
Views: 992

Re: Jim Simons and Renaissance Technologies

I know Cliff Asness at AQR thinks very highly of Renaissance Technologies. Truly successful hedge funds are in the minority and it is an open question if hedge funds as a group are even worth consideration as an investment. Efforts at applying hedge fund techniques to retail mutual funds have met w...
by hdas
Mon Nov 04, 2019 8:12 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 331
Views: 37803

Re: Small Cap Value heads Rejoice !!!

What a day it was.....Energy Sector up 3.26%


VFVA + 1.82%
XMVM + 1.72%
RFV + 1.51%
RZV + 1.46%
ZIG + 1.43%
VLUE + 1.34%
QVAL + 0.92%


vs


REZ -1.54%
VPU - 1.29%
DVOL - 1.20%
VDC -0.88%
USMV - 0.72%
QMOM - 0.72%
XMMO -0.62
MTUM - 0.58%


Cheers :greedy
by hdas
Fri Nov 01, 2019 1:51 pm
Forum: Investing - Theory, News & General
Topic: Does minimum volatility give better returns?
Replies: 31
Views: 3551

Re: Does minimum volatility give better returns?

Some things to unpack here. First, the so-called low beta anomaly is a question of whether high beta stocks have lower alpha than low beta stocks under CAPM. It would not be an anomaly if the lower alpha is explained by less exposure to other risk factors. Don't you find paradoxical that you need 2...
by hdas
Fri Nov 01, 2019 1:43 pm
Forum: Investing - Theory, News & General
Topic: "Steelmanning" the case for owning individual stocks
Replies: 137
Views: 15699

Re: "Steelmanning" the case for owning individual stocks

Bit of choppiness in USMV in the last couple of weeks. Could be a decent indicator - if USMV has more return volatility recently than the S&P 500, that's bullish for risk assets. Furthermore, I think the action of the last weeks tells you the market is trying to balance from being severely underwei...
by hdas
Fri Nov 01, 2019 1:27 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

Is 5-6 years of backtesting data actually a reliable basis on which to construct a maximally diversified and effective risk/reward return portfolio going forward? Personally, I think not. I have serious questions about any time frame of backtesting as being predictive to the future, let alone 5-6 y...
by hdas
Fri Nov 01, 2019 1:20 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

As a believer in factors, it is clear to me that portfolio 8 has more risk (measured in expected stddev) than portfolio 1, but it is not clear whether that extra risk is adequately compensated with higher expected return. How did you calculate the "expected stddev" ? By taking the factor loadings o...
by hdas
Fri Nov 01, 2019 12:23 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

I don't know if Portfolio 8 is or is not more diversified. That's why we all clicked on this thread. Isn't it your burden to prove it? :confused I like the challenge, let me modify the experiment with the aim of meeting the "peer review" requirements better. 1. Let us break the 3 fund portfolio in ...
by hdas
Fri Nov 01, 2019 11:42 am
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

Uncorrelated wrote:
Fri Nov 01, 2019 11:16 am
As a believer in factors, it is clear to me that portfolio 8 has more risk (measured in expected stddev) than portfolio 1, but it is not clear whether that extra risk is adequately compensated with higher expected return.
How did you calculate the "expected stddev" ?
by hdas
Fri Nov 01, 2019 10:37 am
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

1) The risk of the asset must be properly captured by the St Dev. Given the funds I used for my exercise, Check :dollar 2) Assets can't share common holdings. DR is not associative. The theory prevents this by demanding each asset is its own "risk factor". Here are the common overlap of the holding...
by hdas
Fri Nov 01, 2019 9:40 am
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

It's not a broken tool. It's just that no one here is using it properly. Leaving aside the fact that for some funds/strategies there’s only 5-6 years of data, the main flaw of the application of DR is the issue of “comparability” of different number of holding. Could you be more explicit as to what...
by hdas
Thu Oct 31, 2019 1:28 pm
Forum: Investing - Theory, News & General
Topic: "Steelmanning" the case for owning individual stocks
Replies: 137
Views: 15699

Re: "Steelmanning" the case for owning individual stocks

Bit of choppiness in USMV in the last couple of weeks. Could be a decent indicator - if USMV has more return volatility recently than the S&P 500, that's bullish for risk assets. Your observation is accurate and it's easy to check your hypothesis. However, one must go from descriptive to predictive...
by hdas
Wed Oct 30, 2019 10:34 pm
Forum: Investing - Theory, News & General
Topic: Isn't lack of transparency in China a huge risk for international stock index?
Replies: 132
Views: 11721

Re: Isn't lack of transparency in China a huge risk for international stock index?

My China fund of choice (MCDFX) has outperformed VEA since inception by almost double the CAGR and I bet it will continue to outperform for the next ten years as well. While I have no issues with your active bet, the outperformance of a single country bet over an index it’s nothing to write home ab...
by hdas
Wed Oct 30, 2019 12:44 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

As best I can tell, you start off with 30% of your portfolio in international stocks market cap weighted. Seems fine. At the end you end up with less in international stocks (20%, with half of that in low vol international), a heavy tilt to small stocks in the US, replace total bond with LTTs, and ...
by hdas
Wed Oct 30, 2019 11:44 am
Forum: Investing - Theory, News & General
Topic: "Steelmanning" the case for owning individual stocks
Replies: 137
Views: 15699

Re: "Steelmanning" the case for owning individual stocks

The market compensates undiversifiable risks, but not ones that can be diversified away. To experience the gains of an asset class, the investor needs to be diversified within the asset class. Most all of an asset class’ performance is explained by a few winners, and we can’t predict which stocks t...
by hdas
Wed Oct 30, 2019 11:38 am
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

I have no problem with the methodology and I agree with the addition of LT bonds, and EM bonds (not sure about the Low Vol funds from a diversification perspective but you know me, I'm not sold on those). I think its worthwhile for you to look into it. Here's a good place with references (this is a...
by hdas
Wed Oct 30, 2019 11:29 am
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

Mkay. Yeah the ideal is for the value tilt to not introduce much negative momentum. Some funds are pretty good at this even without screens (like the S&P600 Value funds), but they invariably bring a little. I've been looking for a strong MOM fund to counteract it but MTUM seems best thus far. The "...
by hdas
Wed Oct 30, 2019 10:39 am
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

Show me how you calculated DR. I'm almost positive it's wrong. I will once I get to the desk. Why are you positive about this? :greedy Two reasons. 1) If the standard dev. of the portfolio is around 7.5%, a DR of 3 means the weighted St. Dev of the holdings is 22.5%. I don't think a single one of t...
by hdas
Tue Oct 29, 2019 10:36 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

As other posted pointed out, your diversification ratio calculations seems to be off. I just quickly plugged into my risk parity worksheet, It is giving me different results. I used only last year (252 days) of daily prices, Correlation shown is EWMA weighted, but equal weighted shouldn't be too mu...
by hdas
Tue Oct 29, 2019 10:31 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

I'm assuming you're generating numbers and optimizing by looking at underlying index numbers. Otherwise there's only 5 years of data because of XSLV I think. Any ways, what was the St. Dev of that final portfolio in Step 8? I plugged it in to PV and got 7.48% but again, that's just 5 years. Is that...
by hdas
Tue Oct 29, 2019 2:13 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

[1] http://www.upl.co/uploads/factorexposure1572370624.png Interesting portfolio. Can I make my own factor regression similar to that? Should I use PV? If so, what settings do you recommend? This is for the us equity portion only. Just normalize the weights so it adds 100%. AQR Factors, Robust Regr...
by hdas
Tue Oct 29, 2019 2:12 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

I'm assuming you're generating numbers and optimizing by looking at underlying index numbers. Otherwise there's only 5 years of data because of XSLV I think. Any ways, what was the St. Dev of that final portfolio in Step 8? I plugged it in to PV and got 7.48% but again, that's just 5 years. Is that...
by hdas
Tue Oct 29, 2019 2:03 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

[3] The exposure perhaps could be simplified to two funds. Cheers :greedy I notice (almost) all of those are ETF’s. How many people have a brokerage option in their workplace retirement plans? I meant, the low volatility exposure . Sorry about the typo. :greedy I’m not focusing on the volatility po...
by hdas
Tue Oct 29, 2019 1:56 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

TropikThunder wrote:
Tue Oct 29, 2019 1:51 pm
hdas wrote:
Tue Oct 29, 2019 12:55 pm
[3] The exposure perhaps could be simplified to two funds.

Cheers :greedy
I notice (almost) all of those are ETF’s. How many people have a brokerage option in their workplace retirement plans?
I meant, the low volatility exposure. Sorry about the typo. :greedy
by hdas
Tue Oct 29, 2019 1:54 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

Re: How to diversify a Three Fund Portfolio in 8 steps

I'm assuming you're generating numbers and optimizing by looking at underlying index numbers. Otherwise there's only 5 years of data because of XSLV I think. Any ways, what was the St. Dev of that final portfolio in Step 8? I plugged it in to PV and got 7.48% but again, that's just 5 years. Is that...
by hdas
Tue Oct 29, 2019 12:55 pm
Forum: Investing - Theory, News & General
Topic: How to diversify a Three Fund Portfolio in 8 steps
Replies: 66
Views: 4844

How to diversify a Three Fund Portfolio in 8 steps

Some people have asked me privately about portfolio construction, in this post I'd like to share my current implementation. The 8 steps are merely to show the progression and effects of each change, also it can be customized to each person belief system. Considerations: 1.) Balance Risk On/Off based...
by hdas
Tue Oct 29, 2019 11:08 am
Forum: Investing - Theory, News & General
Topic: Any interest in concise guide to HEDGEFUNDIE 3x Leveraged ETF Excellent Adventure?
Replies: 91
Views: 5240

Re: Any interest in concise guide to HEDGEFUNDIE 3x Leveraged ETF Excellent Adventure?

Chrono Triggered wrote:
Tue Oct 29, 2019 10:56 am
This thread is now two pages long. Can there be a concise guide to the concise guide of HEDGEFUNDIE 3x Leveraged ETF Excellent Adventure?
lol...can’t be a thread by definition. Has to be a wiki. Cheers :greedy
by hdas
Tue Oct 29, 2019 8:33 am
Forum: Investing - Theory, News & General
Topic: Ray Dalio’s latest fearmongering round
Replies: 171
Views: 23483

Re: Ray Dalio’s latest fearmongering round

Source Billionaire hedge-fund founder Ray Dalio said the global economy is under threat from an explosive mix of ineffective monetary policy, a rise in the wealth gap and climate change. The combination will lead to a “scary situation” over the next decade, according to Dalio, whose investment mana...
by hdas
Sun Oct 27, 2019 6:49 pm
Forum: Investing - Theory, News & General
Topic: "Steelmanning" the case for owning individual stocks
Replies: 137
Views: 15699

The Impact of Constraints on Minimum-Variance Portfolios

Nice article pertinent to the balance between min volatility and real world implementation. Seems to me that some of the issues are less relevant for DYI with our small portfolios. The Impact of Constraints on Minimum-Variance Portfolios Tzee-Man Chow,Engin Kose &Feifei Li Pages 52-70 | Published on...