Analysis of the PP in the context of the Diversification Metric

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TK3
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Analysis of the PP in the context of the Diversification Metric

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http://www.quantext.com/DiversificationMetric.pdf

I have long followed Jeff's work and used QPP as one tool to evaluate portfolios.    After I learned about the PP over on the big Bogleheads site, I ran lots of lazy portfolios through the Quantext QPP tool, and the diversification benefit of the PP was significantly better than any other static portfolio.    Moving into the PP in 2008 was partially luck, but Jeff's article discusses both the power of diversification and the role this diversification played in 2008.  He also talks about  the difficulty in embracing such an unorthodox portfolio strategy.    Good stuff here.  Enjoy!
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