Please state the pros and cons of portfolio trading. - page 5
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The idea of portfolio investment is the idea of a criminal community fooling the world's dupes. At the head of this community is Nobel Markowitz and his ilk.
Before you open such topics, take our management companies' reports for previous years and compare their results with the change in the index. I last compared for fat years before the crisis. The figures were roughly as follows: about 70% gave a blunt investment in the RTS Index. Three companies gave returns higher than the index by a few percentage points and the rest were strictly lower. Several hundred companies. But all the managers kicked in a not insignificant percentage (up to 10% of asset valuation + % of profit!!!) for this management - that's sacred.
All these portfolios work little by little in a steadily growing market. But God forbid volatility and the whole ideology of managed risk (a la Markowitz) goes to hell along with the ideology of an efficient market. Add to that the sluggishness of management companies and regulatory constraints.
So start with the statistics from our regulator's website, whatever it's called now, and then ask questions if you still want to. It is very desirable that you put this information in this thread, to exclude your interest in attracting the bigwigs into portfolio investments.
stop harassing everyone here on this forum with universal conspiracies
Thank you, that's something to think about.
The idea of portfolio investment is the idea of a criminal community fooling the world's dupes. At the head of this community is Nobel Markowitz and his ilk.
These ideas may not work for static portfolios, but for dynamic portfolios (of stable and profitable strategies) all these theories are very useful.
To be honest, I would not use a weighted average dollar index, because firstly, the global volume of the currency has no effect on its value, and secondly, the dollar index correlates with EURUSD by about 0.98, which removes any identity from it.
Well, I don't see any other way, and in addition, it can be assumed that Europe is the company with the largest market capitalisation.
Something, 0.98 is too much, maybe a smaller one?
Stop trying to scare everyone here on this forum with universal conspiracies.
These ideas may not work for static portfolios, but for dynamic portfolios (of stable and profitable strategies) all these theories are quite useful.
For conventional instruments they really don't work, and all because there are crises when weakly correlated instruments suddenly become strongly correlated and all go down together. For forex too, there is hardly anything to survive even in normal calm times, and all because the correlation dependencies between instruments will be very strong. But for TS, portfolio theory does work, no matter what instruments and at what time these TS work.
Maybe these ideas do not work for static portfolios, but for dynamic portfolios (of stable and profitable strategies) all these theories are quite useful.
faa1947:
And the same request to you: statistics, I gave mine, where are yours?
There are no statistics - dumb investment, a few hundred companies, little by little working, a steadily growing market, instability is not a statistic.
For conventional instruments they really don't work, and all because there are crises when weakly correlated instruments suddenly start to be strongly correlated and all go down together. For forex too, there is hardly anything to survive even in normal calm times, all because the correlation dependencies between the instruments will be very strong. But for TS, the portfolio theory really works, moreover, it does not matter on what instruments and at what time these TS work.
Yes, of course. the idea of cointegration is quite workable, there could be investment ideas. There are small funds in the states that show not bad results under the idea. But I am talking about portfolio investments in their classical sense, with the obligatory inclusion of trierisations etc. And most importantly with a base in the form of an efficient market.
I haven't read about the efficient market in Markowitz's work, but the real problem is the assumption of stationarity of market characteristics. Anyway TS more or less successfully solve these problems, showing the similar statistics both in optimization period and in OOS periods.