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 […]

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 […]

This year I’ve written a few times about using the 200-day Moving Average (200MA) as a market timing indicator. Evolved Perspective on the 200-Day Moving Average Since my last posts my appreciation for and complaints about 200MA have evolved. I previously wrote that if enough speculators begin blindly following the 200MA it could lead […]

Institutional investors have long been indoctrinated with the notions of stocks for the long run and the importance of remaining fully invested. As I touched on stocks for the long run in an earlier post, in this one I will address remaining fully invested. The argument in favor of remaining fully invested went like […]

In the investment world there has been an arms race going on for years: seeking alpha. Active managers seek alpha and investors seek managers with alpha. Quants seek alpha models and try to distinguish themselves by identifying new sources of alpha. Lately more and more investors say that what we used to think of […]

When I accepted the Investment Section spot on the Society of Actuaries Annual Meeting planning committee, the first person I thought of to invite to speak was Eric Falkenstein. Eric Falkenstein is a quant, an author, and a blogger. He has a PhD in Finance from Northwestern University’s Kellogg School of Management. He has developed […]

I ran across a nice piece on Risk Parity by Portfolio Probe. These days it’s rare that anyone other than Wai Lee at Neuberger Berman acknowledges that Risk Parity has broader applications than simply overweighting bonds with respect to equities. One point I’d like to make on the Portfolio Probe post: like the author, I […]