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Tue Jul 15th 11:00 AM
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Risk-Based Asset Allocation: Worth the Effort

Very good article. For my stock portfolio I account for the volatility of each stock when determining position size. It makes sense to do something similar for an allocation of funds, however if I were to base the position size strictly off volatility, the bond funds would get a very large position size. Could you provide an example of how one might apply this, say to a basic portfolio of US stocks, Int'l stocks, and bonds?

Don
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Wed Jun 25th 15:22 PM
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Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility

Hi,
Your timing model is interesting and I appreciate your articles on it, the endowment strategies, etc. My only concern is that in a falling market 1 month seems like an eternity to bail out of a position. Checking the 40 week sma could get you out quicker and would do much better in trending markets ... but much worse in flat markets - PCRIX would have been whipsawed repeatedly from 2004 to 2007.

Have you considered different approaches or timeframes? Perhaps weekly signals but with a filter to try to limit the whipsaws? I'm interested in thoughts on this subject.

Don
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Risk-Based Asset Allocation: Worth the Effort

Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility

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winyaz

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Risk-Based Asset Allocation: Worth the Effort

Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility

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