Equity Returns with 1/2 HBPP MaxDD using Momentum/Value/Volatility Minimization
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InsuranceGuy
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Equity Returns with 1/2 HBPP MaxDD using Momentum/Value/Volatility Minimization
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Last edited by InsuranceGuy on Mon Mar 08, 2021 9:29 pm, edited 1 time in total.
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MachineGhost
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Re: Equity Returns with 1/2 HBPP MaxDD using Momentum/Value/Volatility Minimization
Bazooka!!!
So what do you think the core driver is? Having 50% average in cash for those kinds of portfolio returns is virtually a Holy Grail.
So what do you think the core driver is? Having 50% average in cash for those kinds of portfolio returns is virtually a Holy Grail.
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
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InsuranceGuy
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Re: Equity Returns with 1/2 HBPP MaxDD using Momentum/Value/Volatility Minimization
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Last edited by InsuranceGuy on Mon Mar 08, 2021 9:27 pm, edited 1 time in total.
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MachineGhost
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Re: Equity Returns with 1/2 HBPP MaxDD using Momentum/Value/Volatility Minimization
So generalized, it would be: (r / v ) * ( 1 - c) ?InsuranceGuy wrote:The driver seems to be filtering which risky assets are most likely to outperform via momentum and value and then selecting those that have had stable volatility leading up to that selection.
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
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InsuranceGuy
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- Joined: Sun Mar 29, 2015 1:44 pm