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Equity Returns with 1/2 HBPP MaxDD using Momentum/Value/Volatility Minimization
Posted: Sat Jul 23, 2016 6:05 pm
by InsuranceGuy
[deleted]
Re: Equity Returns with 1/2 HBPP MaxDD using Momentum/Value/Volatility Minimization
Posted: Sun Jul 24, 2016 4:34 am
by MachineGhost
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.
Re: Equity Returns with 1/2 HBPP MaxDD using Momentum/Value/Volatility Minimization
Posted: Sun Jul 24, 2016 9:35 am
by InsuranceGuy
[deleted]
Re: Equity Returns with 1/2 HBPP MaxDD using Momentum/Value/Volatility Minimization
Posted: Sun Jul 24, 2016 10:37 am
by MachineGhost
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.
So generalized, it would be: (r / v ) * ( 1 - c) ?
Re: Equity Returns with 1/2 HBPP MaxDD using Momentum/Value/Volatility Minimization
Posted: Sun Jul 24, 2016 11:01 am
by InsuranceGuy
[deleted]