|
PureBytes Links
Trading Reference Links
|
I focus a lot of my attention to portfolio construction. My input would be:
1) Get familiar with the concepts of Modern Portfolio Theory.
2) Use the correlation of market return streams, not raw price data.
3) Get an MVO (Mean-Variance Optimizer) tool and play around with it.
4) Don't assume future correlations unless they make sense, ie. CL/HO/HU, or
US/TY.
5) Don't make any assumptions about future returns from any one market, ie
the worst market in the past may be the best one going forward.
The more uncorrelated (negatively correlated is the best, but hard to find)
market return streams you can combine, the higher the risk-adjusted return
(like Sharpe ratio) of the portfolio will be.
Scott Hoffman
Red Rock Capital Management, Inc.
----- Original Message -----
From: "Gray, Gabriel" <Gabriel.Gray@xxxxxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, January 27, 2004 12:24 PM
Subject: Portfolio Construction
> Hi All,
>
> Has anyone done any work with, or have a strong opinion about,
> correlations between commodities and/or correlations between strategies.
> Has anyone read anything, measured the effect of, or optimized
> portfolios so as to maximize negative correlation or construct the most
> efficient portfolio. I am obviously very new to this so any advice would
> be much appreciated.
>
> Gabriel
>
>
|