I have expanded the risk-based efficient frontier workbook to correct a few superfluous cells and to accommodate 50 assets. Please note: If you are making investment decisions, consider what you paid for this workbook and treat it as a toy. Its results do not constitute investment advice.

This application is interactive. Be patient as it loads. Example: Unconstrained Maximum Sharpe Ratio portfolio Notice the Contributions to Risk are proportionate to the Contributions to Return Example: Unconstrained Minimum Variance portfolio Notice the Weights and Contributions to Risk are Equal Example: Risk Parity portfolio Contributions to Risk are equal Assumptions Correlation matrix Definitions Weight: […]

Recently I have been playing with the R application, Shiny. Shiny offers a way to embed R applications on the web. Here is a toy model I developed to illustrate the interaction between portfolio weights and contributions to portfolio risk. Access the app here: Visualize Portfolio Risk. This is a slightly less elaborate version of […]

Ed. Originally written in 2011. Published in 2013 “Look ma, I have skill!” An idea that would have been regarded as heresy in the 1990s has gained acceptance and respectability: the idea that investors are not rewarded for risk, systematic or otherwise. Thanks to the long-term performance dominance of low volatility assets over the past […]

TMA: I am pleased to introduce Dorian (Randy) Young as a contributor. Randy is an independent investment professional living in the Bay Area. Power-Assisted Diversification: Not Too Concentrated and Not Too Diversified Dorian (Randy) Young, CFA, CAIA A number of years ago, as someone proficient with benchmark methodologies, I was asked by an investment measurement […]

Update, Nov. 7 2012: Evidently the interviewer was Bob Litterman, renowned in several areas of quantitative finance, especially for the Black-Litterman model. The first several times I heard of or read about risk parity I was puzzled. The media, it seemed, had distilled descriptions of risk parity into some variation on “a leveraged bond portfolio” […]

Many of this site’s visitors are interested in learning about risk parity, especially how to obtain risk parity weights using Excel. The PortfolioWizards Risk Parity Excel workbook is easily the most popular download on the site. Recently a hedge fund manager contacted me who had been playing with the risk parity workbook. He asked whether […]

For several years I managed quantitative equity portfolios at Freeman Investment Management. The firm had been a pioneer in creating low volatility strategies, both long-only and long-short. In addition to managing low volatility portfolios, at Freeman we had been advocating using volatility indices instead of style indices, both as performance benchmarks and as explanatory […]

With as much fun as I’ve been having consulting and blogging for PortfolioWizards, I have decided to accept an offer to join GuidedChoice, a robo-advisor located in San Diego. GuidedChoice has an accomplished team of professionals including Sherrie Grabot, Harry Markowitz, Ming Yee Wang, and Ganlin Xu. They have worked together for over a […]

Dynamic Trading Rules: Change the Time Window and a Different Picture Emerges Further examining a 200-day Moving Average (200MA) strategy for mitigating downside risk, I was recently examining how the picture changes when you alter the time window for assessing these strategies. Below is a scatterplot of a dynamically managed strategy using 200MA (vertical […]