Greetings! I have finally gotten around to setting up a discussion group for people interested in discussing quantitative portfolio management issues, with a...
While QPP and QRP have turned out to be remarkably stable and fault- tolerant, it makes sense to have a place for discussing technical issues. As a start, I...
As EEM and country-specific indices and ETF's have continued their rocketship trajectory, I feel less and less comfortable. QPP projects that EEM has been...
I developed an online text on the basics of portfolio planning: http://www.quantext.com/PersonalPortfolioII.pdf I wrote this document about 2.5 years ago I...
This thread is for readers to make a list of the best investing books for individuals and advisors who are interested in portfolio theory and related themes....
I have developed a portfolio of 13 stocks/funds with generally low beta and low R^2. Data goes back to 7/1/1996. I have played with the percentages of each...
It is hard to believe but it has been about two years or so since I first sent Phil DeMuth a review copy of Quantext Portfolio Planner (QPP). Since then, he...
This book, written by William Bernstein, is a great intro to the basic statistical concepts of asset allocation and the classical theory around this issue....
To begin, in case you were not aware, a complete list of my articles is available here: Geoff Considine's Articles <http://www.quantext.com/subpage.html> I...
A few thoughts: 1) Compare (on page 6 of the QPP printout) where you would be at the 1%ile case over 365 days with each portfolio, to get an idea of what you ...
Hi Greg: It is a very good idea to run your analysis with varying time horizons for the historical data. If you ran with three years, for example, now run...
To all, I like using ETFs in my portfolios, however, the lack of historical data for many of them makes plugging them into QPP difficult. I know that Geoff has...
Many of you are probably aware that the Morningstar fund rating model performed dismally during the tech-driven bear market of 2000. The model for rating...
This academic article from 2000 is one of the classic references showing the poor trading performance of the average retail investor. Link to Article ...
This is an academic study that shows that investors with concentrated portfolios actually out-perform, on average. This article is fascinating, though you...
Hey Everyone. I'm always interested to find stocks that have big diversifying effects on my portfolio. I imagine everyone here is similar and probably have...
My impression is that most QPP users would not be inclined to use gold stocks/ funds/ETFs in their ports due to their high SDs- but is high SD BY DEFINITION...
I looked briefly at SOFO and NBF. These are really small firms--very volatile, too. The low correlation of SOFO to the broader markets looks to me as though...
Hi Greg, Here are my 2c worth: From a purely mathematical point of view, that is, on the basis of expected average return and expected SD, portfolio A looks...
I need to learn more about portfolio theory and construction I understand the general concepts, but need to understand things like Sharpe ratio, R squared,...
Well, I have started a section on good books for investing from this perspective...but I will rehash a bit here. The Intelligent Asset Allocator by William...
In this thread, we will look at a range of model portfolios that hev been published in the press, how they would have looked in QPP/QRP at inception, and how...
