tag:blogger.com,1999:blog-7905515.post2864727430208737926..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Low Volatility Investing Hot, Has DrawbackEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger5125tag:blogger.com,1999:blog-7905515.post-24176924235013746002011-03-03T15:09:17.893-06:002011-03-03T15:09:17.893-06:00Good question. The reason for rebalancing every 4 ...Good question. The reason for rebalancing every 4 weeks is that the realized return is better than rebalancing at other frequency, once transaction costs are discounted. The volatility is practically the same.Javier Nogaleshttp://www.est.uc3m.es/Nogalesnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-78992377881396951702011-02-25T21:16:09.652-06:002011-02-25T21:16:09.652-06:00Javier: interesting. What is the advantage of tra...Javier: interesting. What is the advantage of trading every month vs every 6 months? Do you find the reduction in volatility is significant with this higher turnover?Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-11020190074118713502011-02-25T16:16:25.543-06:002011-02-25T16:16:25.543-06:00Hi,
I really like your work about low volatility ...Hi,<br /><br />I really like your work about low volatility portfolios. I have studied these portfolios too, but instead of analyzing them from a financial perspective, I study their statistical properties. That is, I focus on the estimation risk associated with the covariance matrix.<br /><br />Anyway, the performance that I found for these portfolios is very similar to that in your posts.<br /><br />In this blog:<br />http://estimationrisk.blogspot.com/<br />I recommend a weekly portfolio based on minimum-variance strategies, analyzing several performance measures (after transaction costs) through extensive back-tested results.<br /><br />Hope you like it too.Javier Nogaleshttp://www.est.uc3m.es/Nogalesnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-72469521329269957742011-02-23T06:14:29.798-06:002011-02-23T06:14:29.798-06:00You can overcome that by choosing a bond ETF, for ...You can overcome that by choosing a bond ETF, for example, like TLT which has a volatility much closer to SP500. Correlation would be substantially negative still.<br /><br />MarkMAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-62511632013200881612011-02-21T13:16:32.727-06:002011-02-21T13:16:32.727-06:00What about portfolio with substantial bonds (like ...What about portfolio with substantial bonds (like 50%)? Is the low volatility advantage partly negated by the higher correlation to bonds?Anonymousnoreply@blogger.com