Greetings! I have finally gotten around to setting up a discussion group for people interested in discussing quantitative portfolio management issues, with a...
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quantext2002
Nov 20, 2007 7:20 pm
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...
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quantext2002
Nov 20, 2007 7:32 pm
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...
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quantext2002
Nov 20, 2007 8:20 pm
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...
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quantext2002
Nov 20, 2007 8:57 pm
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....
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Greg Garnett
garnetgl
Nov 20, 2007 9:00 pm
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...
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quantext2002
Nov 20, 2007 9:03 pm
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...
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quantext2002
Nov 20, 2007 9:23 pm
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....
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quantext2002
Nov 20, 2007 9:30 pm
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...
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quantext2002
Nov 20, 2007 10:01 pm
Talk that John Bogle gave at UVA that covers the broad topics in his book by the same name--worth a read. Link to the paper...
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quantext2002
Nov 20, 2007 10:23 pm
Another paper from Bogle on the theme of capitalism, markets, investing, and how to make it all work better: Link to Paper...
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PhilDeMuth
Nov 20, 2007 10:40 pm
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 ...
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quantext2002
Nov 20, 2007 10:46 pm
This is one of the best and most important papers that I have read on quantitative aspects of asset allocation and portfolio planning. This is an...
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quantext2002
Nov 20, 2007 10:55 pm
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...
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jhoward53
Nov 21, 2007 12:15 am
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...
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quantext2002
Nov 21, 2007 4:16 am
There are a range of indices on Yahoo! Finance that you can use as proxies for short records: http://finance.yahoo.com/indices?e=commodities ...
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quantext2002
Nov 21, 2007 4:26 am
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...
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quantext2002
Nov 21, 2007 4:30 am
This academic article from 2000 is one of the classic references showing the poor trading performance of the average retail investor. Link to Article ...
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quantext2002
Nov 21, 2007 4:35 am
This is an academic study that shows that investors with concentrated portfolios actually out-perform, on average. This article is fascinating, though you...
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quantext2002
Nov 21, 2007 4:41 am
Link to Article <http://www.reuters.com/article/businessNews/idUSN1920872620070819?feedT\ ype=RSS&feedName=businessNews>...
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kevinmichaeljohnson
kevinmichael...
Nov 21, 2007 12:04 pm
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...
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Art
a55capricorn
Nov 21, 2007 4:24 pm
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...
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quantext2002
Nov 21, 2007 4:54 pm
This is a good and important topic. QPP does not dislike Gold, or precious metals: Article on Gold, QPP, and Diversification Benefit ...
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quantext2002
Nov 21, 2007 9:07 pm
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...
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aparashk
Nov 22, 2007 8:12 am
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...
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coghoo59
Nov 22, 2007 1:03 pm
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,...
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quantext2002
Nov 23, 2007 4:06 pm
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...
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coghoo59
Nov 23, 2007 4:17 pm
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coghoo59
Nov 23, 2007 4:24 pm
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quantext2002
Nov 23, 2007 8:02 pm
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...
