tag:blogger.com,1999:blog-4751610667110065763.post3490638058401626905..comments2023-10-13T14:07:08.908-04:00Comments on HowtoInvestOnline: Portfolio Volatility of Swensen Seven, Smart Beta vs Simple Recipe - Which is best?CanadianInvestorhttp://www.blogger.com/profile/05645767559302303541noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-4751610667110065763.post-50865745422972917812013-06-06T19:29:12.858-04:002013-06-06T19:29:12.858-04:00Anon1, re the three ETFs, my guess would be that i...Anon1, re the three ETFs, my guess would be that in a short time period of a few years, a subset of asset classes may well do the job but when the economic environment changes drastically to a new set of growth vs inflation circumstances, that's when the other asset classes start to be useful.CanadianInvestorhttps://www.blogger.com/profile/05645767559302303541noreply@blogger.comtag:blogger.com,1999:blog-4751610667110065763.post-29443317226968220922013-06-06T19:24:11.073-04:002013-06-06T19:24:11.073-04:00Notwithstanding Mr Ferri's brief analysis, man...Notwithstanding Mr Ferri's brief analysis, many others who have examined the equal weight index have found it be more return vs risk efficient than a cap-weight. In fact cap-weight has been found to be inefficient compared to other wefighting schemes like fundamental and minimum variance. Jacques Lussier's new book Successful Investing cites a series of such studies. The EDHEC-Risk Institute has lots of papers on the subject e.g. see here http://www.edhec-risk.com/latest_news/featured_analysis/RISKArticle.2012-01-20.4937?newsletter=yes and here http://www.edhec-risk.com/indexes/equity_index_research. A quote from the latter page: "Four main weighting schemes are analysed: efficient indices, fundamental indices, minimum-volatility indices, and equal-weighted indices. Empirical results for US and Developed World data on these indices show that the average returns of all four alternative index construction methods are superior to those of cap-weighted equity indices in both universes and that, by several measures of risk-adjusted performance, they are likewise superior"<br /><br />As they say, let the debate continue.CanadianInvestorhttps://www.blogger.com/profile/05645767559302303541noreply@blogger.comtag:blogger.com,1999:blog-4751610667110065763.post-70084918525207978532013-05-25T19:35:31.507-04:002013-05-25T19:35:31.507-04:00Rick Ferri's take on RSP. http://www.rickferri...Rick Ferri's take on RSP. http://www.rickferri.com/blog/investments/no-free-lunch-from-equal-weight-sp-500/Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-4751610667110065763.post-34620571665741270152013-05-25T12:49:01.817-04:002013-05-25T12:49:01.817-04:00Very interesting analysis, thanks ! My investment...Very interesting analysis, thanks ! My investment approach is based on the the same principles but I use an even simpler approach with only 3 ETF: ZLB, ZCM and one based on a momentum strategy. <br /><br />In my analysis, I didn't find any significant value add to diversify beyond that like Smart Beta with REIT and other geographies.<br /><br />I'd be interested to get your point of view or analysis on this.Anonymousnoreply@blogger.com