One follow-up question - I understand why the straight line, but why wouldn't the Y-intercept of the straight line equal the risk-free return ? I plotted a...
... return ? Good question. I experimented with that early on, but the changes in the risk-free rate of return made validation ambiguous. One might argue...
I was surprised to see the effect that bear market funds had on the model portfolios I have constructed with QPP. I looked at several of them (including the...
Bear market funds need to have a delta return added so that their expected return is the opposite of the actual index. The S&P500 has an expected return...
... Actually, this is already partly captured in the way that the risk premium and inflation are captured. We have an input assumption with the expected rate...
There has been a good discussion of the pro/cons of commodity exposure in this group over the last few months. I'm wondering if anyone has an opinion/has done...
URPIX actually has a (trailing 36 month) beta of -194% So, wouldn't you need to adjust its expected return to -16.6% (-2X S&P500) ? In fact, it's not just...
Is anyone running QRP on a current Apple product? I'm considering making my next laptop one of those spiffy 17" macs. It's dual core so it should be faster...
Hi all: FYI I have a new article on SA--this is an analysis of the first model portfolio I published on SeekingAlpha and how it has done in the 2+ years since:...
Bear market funds are the only case that I have encountered in which you need to adjust the delta returns. QPP assumes long positions, but a bear fund is a...
... That is the point. If we were to simply assume that negative Beta stocks were inverse, we would end up with CAPM--and that is not where I wanted to go....
Thanks for this article Geoff. I think it is EXTREMELY useful to be able to look at the performance going forward of portfolios constructed using QPP. Most...
Hi Geoff, I'm going to follow-up on this question of changing the delta return on bear funds. You are talking about changing the default delta return on page 1...
... I think that the difference is due to two factors. First, this is a statistical forecast, so we don't expect each outcome to be at the average. Broadly...
Goeff- Is it reasonable then to expect that if portfolio volatility turns out to be higher that returns would be higher too? In other words, is is likely...
Hello all, I'm a QPP Trial user, but am a frequent reader of Geoff's articles on SA. Yes, it's taken me a while to get my head around trying QPP. I am trying...
I was wondering how qpp calculates return and std deviation . Is it from daily price changes that are annualized ? Or is it based on longer term price changes...
Geoff; A long time ago I asked that AAII review QPP/QRP in Computerised Investing(CI). I think they may have contacted you regarding the software and Monte...
Hi Ken: I spoke with the person from AAII-CI and she told me that CI's editor is in favor of technical analysis but does not like portfolio theory. Therefore,...
Geoff; I propose that QPP/QRP users respond and request that portfolio theory, Monte Carlo forecasting, and QPP/QRP software be reviewed in AAII publications. ...
Hi, The AAII Computerized Investing people are (with e-mail addresses): Editor -- Wayne A. Thorp (wayne@...) Associate Financial Analyst -- Carla Scatizzi...
Hi Sandra, I haven't run QRP but QPP runs happily on Office 2003 under VMWare Fusion on Mac OS X. AFAIK QPP/QRP won't run under native Mac OS X version of...
