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seen Oct 6 at 19:53

Apr
23
comment Quantitative method to select tactical bands for asset allocation
4th results: alexandria.unisg.ch/export/DL/51978.pdf
Apr
23
comment Quantitative method to select tactical bands for asset allocation
First search result from google choateinvestmentadvisors.com/uploads/103/doc/…
Nov
4
comment How to optimize a portfolio under *both* maximum diversity ratio and minimum variance
Sometimes heuristics works best. So before building a elaborate objective function to solve this potentially non linear func, I would check if there is good performance by combining the weights. Since min.var usually spits out a subset weights, why not try and apply Max div on those assets with > 0 weights?
Jun
11
comment Volatility Estimation
Sorry for the vagueness. The first E is the covariance for the two strategies while the second one is the covariance of the asset classes, instruments traded by each strategy. (assume they are the same universe)...in terms of coherence, I am assuming they as intuitively the covariance of the two strategies are made up of exposure to the correlation and variances of the asset classes held at each rebalance
Apr
16
comment PCA Variances and Principal Portfolio Variances
Thanks, I am getting same values. R variables get messy
Mar
8
comment Calculating Momentum From Returns
Ok see above for the new modification. The price series, is just a equity series through cumprod.
Mar
8
comment Calculating Momentum From Returns
I am just trying to measure asset class momentum. Would I then just add them?
Jan
26
comment Why do low standard deviation stocks tend to have superior future returns?
The piece simply aims to use an alternate measure of volatility (beta) and check for the robustness of the low volatility anomaly. It universe encompasses small cap, mid cap, large cap. The results are summarized in the table whereby each top 50 stock’s performance are compared with the bottom 50’s performance. Results confirm the anomaly.
Dec
29
comment Determining portfolio risk return in R given historical data for individual holdings?
I am assuming you are defining risk in traditional metrics. Given weights and historical data, wouldn't a simple weighted return of each asset give the return series of the portfolio? From there wouldn't you just go about calculating the standard deviation and annualized return of the portfolio return series? In R, you just use "sd(return.series)" to get risk. and return just use PerformanceAnalytics functions to get return
Dec
19
comment How to cluster ETFs to reduce cardinality for portfolio selection
Im actually doing the exact same thing but with a smaller universe of asset. Mine is for performance tracking purposes.
Dec
14
comment Cloning Return Streams
In all honesty, all funds that try to generate absolute return get ideas from everyone else, its just that they sugar coat it with different adjectives so it seems they are doing something completely different. I guess none should, by your definition, invest in any hedge funds...
Dec
14
comment Cloning Return Streams
Your point on Hedge fund return being dismal, I totally agree. But this actually means there are more research to be done to understand such under performance which may help to navigate better from a portfolio allocation point of view.
Dec
14
comment Cloning Return Streams
What they differ is their way of fine dicing their particular strategy so it is customized to their appetite for risk or more precisely their investors. I am NOT interested in the specific parameters they operate in, rather I am generally interested in the broadly defined characteristics that contribute to each styles returns. (Which is why I ACKNOWLEDGE the fact that perfect replication is not possible).
Dec
14
comment Cloning Return Streams
First and foremost, don’t make assumptions of who I am (PM), as I am merely a humble 21 year old undergraduate student with a passion for quantitative finance. : ] Second of all I am not stealing ideas from anyone. The majority of hedge fund strategies can be categorized in about 10 different styles. If I am stealing, hell where do you think all the hedge funds that are just starting out get their ideas from, mars?
Dec
13
comment Cloning Return Streams
thanks for the detailed answer. the reason I think its possible is because hedge fund return is dominated by beta, and therefore it should in theory be replicable to a certain extend. I got the idea when I was reading a book that mentioned standard beta based asset classes' return can be separated between risk free, structural beta, and structural alpha. The only component that offers diversification is the structural alpha, all others that have risk return characters below the cash equity line can be in theory replicated by a mix of cash and equities. I may be interpreting it wrong.
Dec
13
comment Cloning Return Streams
I am trying to figure out ways to tap in to different lowly correlated return streams to help diversify existing portfolios. And it seems hedge fund is a good place to start given their diverse market exposure.
Dec
13
comment Cloning Return Streams
i beg to differ, there are lot of hedge funds that are dominated by beta rather than alpha. B-water did two piece of analysis and found that excess hedge fund return is practically flat since '09. Also they were able to replicate some strategy with 80% correlation (ie Emerging market hedge funds)
Nov
23
comment How to make the final Interpretation of PCA?
I had the same problem earlier. cs.otago.ac.nz/cosc453/student_tutorials/… was something others directed to my attention and it helped quite a bit.
Sep
17
comment Aftcast Generation
Yes, Jim invented Aftcast for portfolio sensitivity testing if I am not mistaken..
Sep
17
comment Aftcast Generation
Thanks so much!