How To Get To 20%, or, Extensions to QTAA

The title of this post is meant to be a bit playful, but below is our first attempt at what should be a regular series of videos and webinars.  I found that it is much, much easier for me to chat about ideas and research than it is to type (at about 5 words per minute, need to try the Dragon software perhaps).

In any case, I feel a lot of context is lost in the printed word as well, so, in coming months look forward to lots of videos that will parallel 1)  published research papers, 2) speeches, since most are never recorded, and 3) our new upcoming books.  Once I figure out the technology we will try to add a live Q&A element as well if that interests people.

Below is a video where I try and answer five of the most often asked questions about our 2006 and 2010 papers, A Quantitative Approach To Tactical Asset Allocation and Relative Strength Strategies for Investing. Actually, a few are not questions I get but they are questions I should get.

We take a look at increasing the number of assets in the portfolio as well as increasing the granularity within the major asset classes.  We examine whether rebalancing frequency such as daily, weekly, or monthly rebalancing impacts returns, and the effects of different parameter lengths.  We also examine various cash management strategies that could improve returns over Treasury Bills.  We finish the presentation with a few more possible extensions that investors may consider as a complement to a trendfollowing system.

Note: You should be familiar with both papers and or at least read The Ivy Portfolio….(and if you would rather watch on Screencast here is the link.)

And, now that I’ve bored you to death, a second video to begin your week….beautiful Iceland and Bon Iver.