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标题: Quiz: rebalancing strategies [打印本页]

作者: LPoulin133    时间: 2011-7-11 19:23     标题: Quiz: rebalancing strategies

Testable stuff:

Discuss the basic components, risk tolerance assumptions, and relative performance in different market conditions for:
Buy and hold
Constant weight
Cppi

Ill throw my 2 cents tomorrow.

_____________________________________________________
-My friend QQQbbe, we will never forget you.
作者: liangfeng    时间: 2011-7-11 19:23

Buy and hold - make initial investment and do nothing, never outperforms other 2 strategies

Constant weight - periodically adjust to some target allocation, outperforms in a flat but oscillating market, worst performance in trending market

CPPI - set floor value, invest risk free floor amount, then increase allocation to risky asset if prices trend up, decrease when prices trend down. Outperforms in trending market, underperforms in flat, volatile markets

NO EXCUSES
作者: nannan66    时间: 2011-7-11 19:23

sbmarti2 Wrote:
-------------------------------------------------------
> Buy and hold- explanatory, isn't it? Will fall
> between the other two in all cases, M value of 1.
>
> Constant mix- standard rebalancing to original
> SAA, outperforms in reversing markets,
> underperforms in trending markets, M value of less
> than 1, selling portfolio insurance, cheaper
> trading as it's contrarian
>
> CPPI- floor value in risk free, invest in risky in
> growth periods, sell risky in down periods. M
> value greater than one, convex, momentum trading
> costs are higher, buying portfolio insurance.
>
> P.S. I'm into the beers, so my answers are a bit
> lazy. Also, I can't remember if it's the M value,
> or some other letter. 1 in 26 shot

The M values are correct

NO EXCUSES
作者: Windjammer    时间: 2011-7-11 19:23

Thanks. Also forgot to put CPPI is best in trending and worse in reversing, but oh well.




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