OK, give me your 2, 3 or 4 securities (stocks, CEFs, ETFs) that long term you think would do best
- Thread starter SoyUnGanador
- Start date
Some studies here.
Sharpe-Ratio Related Portfolio Selection
Abstract. This article investigates the criteria that individual investors should consider within the Sharpe Ratio perspective. Based on risk, return, and correlation, this research used Excel program to find the optimal portfolio and efficient frontier which offer the highest expected return for a defined level of risk or the lowest risk for a given level of expected return. Among the historical real data of 16 assets, this study found that the optimal portfolio contains assets that has lowest correlation and highest individual risk/return ratio. With this finding, investors can pick combination of domestic and international stocks from different sectors that has low correlation while maintain highest individual risk/return ratio. Therefore, the individual investors can tailor their own risk tolerance to build personalized portfolio with highest Sharpe Ratio.
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ROBUST PORTFOLIO SELECTION WITH CLUSTERING BASED ON BUSINESS SECTOR OF STOCKS
Abstract: In recent years there have been numerous studies on portfolio selection using cluster analysis in conjunction with Markowitz model which used mean vectors and covariance matrix that are estimated from a highly volatile data. This study presents a more robust way of portfolio selection where stocks are grouped into clusters based on business sector of stocks. A representative from each cluster is selected from each cluster using Sharpe ratio to construct a portfolio and then optimized using robust FCMD and S-estimation. Calculation Sharpe ratio showed that this method works efficiently on large number of data while also robust against outlier in comparison to k-mean clustering. Implementation of this method on stocks listed on the Indonesia Stock Exchange, which included in the LQ-45 indexed for the period of August 2017 to July 2018 showed that portfolio performance obtained using clustering base on business sector of stocks combine with robust FMCD estimation is outperformed the other possible combination of the methods
Sharpe-Ratio Related Portfolio Selection
Abstract. This article investigates the criteria that individual investors should consider within the Sharpe Ratio perspective. Based on risk, return, and correlation, this research used Excel program to find the optimal portfolio and efficient frontier which offer the highest expected return for a defined level of risk or the lowest risk for a given level of expected return. Among the historical real data of 16 assets, this study found that the optimal portfolio contains assets that has lowest correlation and highest individual risk/return ratio. With this finding, investors can pick combination of domestic and international stocks from different sectors that has low correlation while maintain highest individual risk/return ratio. Therefore, the individual investors can tailor their own risk tolerance to build personalized portfolio with highest Sharpe Ratio.
.........................................................................
ROBUST PORTFOLIO SELECTION WITH CLUSTERING BASED ON BUSINESS SECTOR OF STOCKS
Abstract: In recent years there have been numerous studies on portfolio selection using cluster analysis in conjunction with Markowitz model which used mean vectors and covariance matrix that are estimated from a highly volatile data. This study presents a more robust way of portfolio selection where stocks are grouped into clusters based on business sector of stocks. A representative from each cluster is selected from each cluster using Sharpe ratio to construct a portfolio and then optimized using robust FCMD and S-estimation. Calculation Sharpe ratio showed that this method works efficiently on large number of data while also robust against outlier in comparison to k-mean clustering. Implementation of this method on stocks listed on the Indonesia Stock Exchange, which included in the LQ-45 indexed for the period of August 2017 to July 2018 showed that portfolio performance obtained using clustering base on business sector of stocks combine with robust FMCD estimation is outperformed the other possible combination of the methods
Out of curiosity, I searched http://www.lazyportfolioetf.com for ETFs and portfolios or ETFs for the compound annual returns, standard deviations, and time. Then, I divided the returns by the corresponding standard deviation to get a risk-adjusted performance measure.
I've attached a semicolon-separated summary.
Some names are duplicated for different time periods.
http://www.lazyportfolioetf.com/allocation/ has a list of all the portfolios.
TQQQ pricing is the newest one, started 2/11/18 or thereabouts.
A 50%/50% portfolio in TQQQ/UPRO would since 2/11/18 have an IRR of 32.04%, but a max drawdown of 73.49%. A IRR/max drawdown ratio of .436.
QQQ over that same period has IRR of 16.9% and a max drawdown of 35.12%. A IRR/max drawdown ratio of .481. So better ratio.
You could invest less in your combo, and if you reduced your investment so your net drawdown was equal to the 35.12% of the QQQ investment, your IRR would have been 15.42%. So significantly worse than the QQQs.
Dave, give me 2, 3 or 4 fund type things (ETFs, CEFs, ETNs, etc.), but not individual stocks, that you think might beat the market. The market being QQQs. Thanks!
I guess I was drunk LOL. My bad. Not stocks, that would not be meaningful IMO. But funds, on the other hand...
What funds? Funds that hold something other than stocks? Gold fund? Oil fund? Guess what, they hold stocks! Otherwise you are trading futures!
You might have to revert back to your original nick soon...
50/50 SPXL and TQQQ since 2/11/2010 (TQQQ start date, SPXL was earlier):
IRR - 31.83%
Max DD - 73.51%
QQQs same period was same as above for TrAndy's picks - IRR 16.9 and 35.12%.
So, again, QQQ better in IRR/Max DD ratio.
Do drop your portfolio % invested to get the same max DD as the QQQs, your IRR would drop to 15.28%.
So TrAndy's was just a shade better than yours, but both fall short of the QQQs in IRR/Max DD ratio.
