Month: March 2013
Optimal portfolios can underperform more naive constructions due to parameter uncertainty and instability over time.
Correlations often increase during market crashes. Static asset allocation cannot weather a scenario like this, but tactical asset allocation can.
The distribution of returns over time is far from static. Using a dynamic window to measure momentum reduces the risk of missing investment opportunities.
Return, volatility, and correlations exhibit varying degrees of stability over time. Using stable measures in portfolio construction makes it more robust.
