Re: The Perfect Portfolio
yalanand
6/4/2012 3:53:08 PM
Or let's just look for an online calculator to do it for us.
@Noreen, I think we need much more than calculator...I think the data is so huge that we either need matlab or wolfram alfa computational capability.
Re : Secrets of the Perfect Stock Portfolio
yalanand
6/4/2012 3:39:12 PM
Cunningham said AIER is doing further research to see if it can hone in on the qualities that give a stock the desired asymmetrical beta. That would be useful advice for individual investors.
@Noreen, thnaks for the post. I totally agree with you, if users can identify such qualities they can do better investments. I am eagerly waiting for your next blog to know what qualities give a stock the desired asymmetrical beta.
Re: The Perfect Portfolio
Value Hiker
6/4/2012 3:10:06 PM
@Scott, as a fact, large number of the Wall Street Quants were rocket-scientists from East European countries, and Soviet Unions. Joined with Wall Street Investment bankers, they created the Subprime crisis with all these fancy math models for option trading and risk management. What a waste of talence!
I can't actually, because I don't know what the process is. And it sounds like they were doing a fairly sophisticated analysis of many decades of data... I doubt there is an online calculator for this. I'm going to ask some folks how they would go about the calculation.
Ah come on Scott..you can do it!
Or let's just look for an online calculator to do it for us.
"It created the portfolio by computing betas for all stocks for the years 1995 through 2011 in the broad-based Russell 3000 stock market index. In addition, they separately computed betas in rising and falling markets. That, Cunningham said, was the hard part. "It was a huge task."
I will have to ask my rocket-scientist friends but at this point I probably don't have the capability to do this.
At this point, I do not think they are trading the research portfolio. But we should be able to perform some screens to identify some of these stocks. You just have to compute the betas for specific periods.
@Value Hiker
That is such a true statement about the markets. As soon as you think you are onto something that "works flawlessly," they move the goalposts.
The general reason is that other people catch on to the think that works and if everybody is doing the same thing then it becomes impossible to set yourself apart.
@Noreen,
If you can get the name of specific funds that this strategy is linked to we can get more information on individual stocks.
@TelecomFreq, math is important to investment, especially the basic theory of probability, the compound theory, and the game theory, etc. But it is not a silver bullet to investment return. Underrating or overrating its importance are both wrong.
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