April 4, 2012
How did the constraints affect portfolio betas, and how did the betas change over time? Previously “Low (and high) volatility strategy effects” created 6 sets of random portfolios -- [...]
March 29, 2012
Maximum weight was constrained to 4% at the start of 2007, how does that grow when unhindered? Previously “Low (and high) volatility strategy effects” created 6 sets of random [...]
March 28, 2012
How much turnover is required to get portfolios back to their constraints? Previously “Low (and high) volatility strategy effects” created 6 sets of random portfolios as of 2007 and [...]
March 23, 2012
Does minimum variance act differently from low volatility? Do either of them act like low beta? What about high volatility versus high beta? Inspiration Falkenblog had a post investigating [...]
December 21, 2011
A possible way to search for constraints that improve optimization. The perspective The usual way of thinking about portfolio optimization is to first consider the utility and then restrict [...]
November 30, 2011
How does the effect of our expected returns change over time? This is not academic curiosity, we want to know in the context of our portfolio if we can. [...]
November 16, 2011
The return of a hypothetical fund was 17.9% in 2010. We want to know if that is good or bad. The benchmark method The assets in the portfolio are [...]
November 7, 2011
Financial mathematicians have built an increasingly elaborate structure around the idea of “the market” ... In this article, I intend to challenge some of these foundational concepts with the [...]
September 19, 2011
Investors need to distinguish between good and bad active fund managers. Relatively new technology makes this much easier. The usual methods benchmark One of the common approaches is to [...]
August 29, 2011
Investment Performance Guy had a post about beta equal 1. It made me wonder about the properties of portfolios with beta equal 1. When I looked, I got a [...]