Portfolio Allocation
How do you guys allocate holdings in your portfolio?
1/n? market cap? efficient frontier/max sharpe ratio? risk parity/equal risk? 1/sigma? gut feel?
Equal risk concentration is new to me and I was stunned by the results vs. a market cap weight vs. max sharpe ratio is pretty impressive. Combined with a momentum indicator it takes you through 2008 with a small gain (although it under performs in 2015 by a couple %) on a US sector allocation portfolio (that'd be an alternative to someone whose portfolio is US equity/bond, but does require a move in to gold at some points).
Some recent One portfolio I manage with some 9 ETFs (Canada equity/bond/REIT, US equity/bond, EAFE equity/bond, EM equity, gold) is indicating that holding only 100% the Canada REIT is an efficient portfolio according to Markowitz. Max Sharpe ratio excludes US equity right now.
I spent a lot of time on this years ago with no money at play but recently have had to get my models caught up again because there's real money at play now, so it's top of mind.
1/n? market cap? efficient frontier/max sharpe ratio? risk parity/equal risk? 1/sigma? gut feel?
Equal risk concentration is new to me and I was stunned by the results vs. a market cap weight vs. max sharpe ratio is pretty impressive. Combined with a momentum indicator it takes you through 2008 with a small gain (although it under performs in 2015 by a couple %) on a US sector allocation portfolio (that'd be an alternative to someone whose portfolio is US equity/bond, but does require a move in to gold at some points).
Some recent One portfolio I manage with some 9 ETFs (Canada equity/bond/REIT, US equity/bond, EAFE equity/bond, EM equity, gold) is indicating that holding only 100% the Canada REIT is an efficient portfolio according to Markowitz. Max Sharpe ratio excludes US equity right now.
I spent a lot of time on this years ago with no money at play but recently have had to get my models caught up again because there's real money at play now, so it's top of mind.