Hi,

Please consider.

Just wanted to add a paper - to my claim that this works:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2163486

I have met several managers using this at the portfolio and 'system of system' level.

Several of these strategies more than DOUBLE THE SHARPE RATIO. They boosted returns. They lowered DD's and Vol.

As the 'book' of sim's is built out, having the ability to manage allocations to underlying sim's dynamically based on their trailing X period vol. contributions, (ideally) a total portfolio 'target' vol and (ideally) their trailing x period system correlations to underlying other holdings is both logical and shown clearly to SIGNIFICANTLY INCREASE risk adjusted returns.

I know many people using this in real world practice. I want to use it here.

This is a feature that can be sold and marketed to Money managers to help them better serve customers. It is a portfolio management feature and functionality that is potentially very marketable.

And, while I'm not a huge fan of P123 pursuing AC, I also think this technology will be critical to making Alpha Chasers top-notch and able to attract bigger money from family offices and HNW's. Those will be needed to scale the service.

Best,
Tom
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Requested by: Tomyani
On date: 06/15/13
Category: Simulation

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