tag:blogger.com,1999:blog-3437349153258712387.post3896859284070398053..comments2023-06-29T01:56:32.190-07:00Comments on Portfolio Management under Estimation Risk: Some efficient low volatility portfolios: the 1/N policyJavier Nogaleshttp://www.blogger.com/profile/13206206259474924684noreply@blogger.comBlogger8125tag:blogger.com,1999:blog-3437349153258712387.post-26452156116710688982011-06-30T10:18:24.320-07:002011-06-30T10:18:24.320-07:00Prazor,
Thanks for the suggestion. Indeed, we hav...Prazor,<br /><br />Thanks for the suggestion. Indeed, we have tried the datasets in the K. French library in our academic papers. The insights are practically the same. I prefer to use stocks in this blog because the assets in French library are not tradable, but I agree with you they can give a light about the small and value effects. <br /><br />Best regards.Javier Nogaleshttps://www.blogger.com/profile/13206206259474924684noreply@blogger.comtag:blogger.com,1999:blog-3437349153258712387.post-55882912773348114722011-06-30T08:53:30.404-07:002011-06-30T08:53:30.404-07:00Wonder if the french data library can
be of any he...Wonder if the french data library can<br />be of any help?<br />http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html<br /><br />Can you apply LV to his data series?<br /><br />My guess it would be poosible to answer<br />the small and value issue. Also shed some<br />light on overall robustness over time.<br /><br />Regards,<br />prazorAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-3437349153258712387.post-88400320354949927552011-05-11T12:29:45.605-07:002011-05-11T12:29:45.605-07:00Some time ago I read an article wich analazed this...Some time ago I read an article wich analazed this matter. I do not remember the analized index and the period of time, but their conclusion: 86% of low volatility portfolios are explaned by the small and value effect. I do not remember if the analysis used the 1/N concept.<br /><br />What I want to say is that it would be of interest to know wich extent the performance of a 1/N volatility portfolio it is explaned by the small and value effect.Valentinnoreply@blogger.comtag:blogger.com,1999:blog-3437349153258712387.post-68267443487426488982011-04-06T21:24:03.385-07:002011-04-06T21:24:03.385-07:00Curious your thoughts on equal-value (e.g. above) ...Curious your thoughts on equal-value (e.g. above) versus equal-weight (e.g. <a href="http://finance.yahoo.com/q?d=t&s=RSP" rel="nofollow">RSP</a>)?quantivityhttp://quantivity.wordpress.com/noreply@blogger.comtag:blogger.com,1999:blog-3437349153258712387.post-83303789786403670282011-03-22T04:26:35.006-07:002011-03-22T04:26:35.006-07:00David, I agree some “size” anomaly is helping the ...David, I agree some “size” anomaly is helping the equal-weighted strategy.<br /><br />Actually, I have run the 1/N policy with a yearly rebalancing and the results are only a bit worse (always in terms of SR), but as you said they are still great.<br /><br />But we need to take care about this type of anomaly: past good performance does not assure the same future performance…Javier Nogaleshttps://www.blogger.com/profile/13206206259474924684noreply@blogger.comtag:blogger.com,1999:blog-3437349153258712387.post-80719767993559237182011-03-21T18:54:57.798-07:002011-03-21T18:54:57.798-07:00Actually I view the LV strategy as 'smaller...Actually I view the LV strategy as 'smaller' stocks market cap average around 20B vs. 80B for the S&P 500. So no it is not small cap like a R2000 but it is smaller then the S&P 500.<br /><br />Also, if you run back tests to limit turn to say quarterly or even annually the returns are still great. Especially risk adjusted (Sharpe)!David Hardenhttp://www.hardensoft.comnoreply@blogger.comtag:blogger.com,1999:blog-3437349153258712387.post-32757259017117545592011-03-19T00:50:59.295-07:002011-03-19T00:50:59.295-07:00John, it makes sense and seems reasonable. Thanks ...John, it makes sense and seems reasonable. Thanks for the comment.Javier Nogaleshttps://www.blogger.com/profile/13206206259474924684noreply@blogger.comtag:blogger.com,1999:blog-3437349153258712387.post-45462249759910293532011-03-18T05:47:14.880-07:002011-03-18T05:47:14.880-07:00None of the stocks in the S&P500 are considere...None of the stocks in the S&P500 are considered small cap stocks, so I don't think that the 1/N strategy is tapping in to the small cap effect. Given your rebalance frequencies, which are relatively high, I'd say 1/N amounts to a short-horizon Value strategy: you're buying more of stocks that have been beat down in price in excess of their fundamentals (over sold). Once the market realizes its overraction, it corrects and you see an outsized return.John Marinohttps://www.blogger.com/profile/01460593632134103764noreply@blogger.com