R-Portfolio - a diversification method - page 4

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Enough talk, let's build the grail! )

 
vasya_vasya писал(а) >>

there is such a thing, diversification does not save during world crises, but this theory is not for suckers after all. at least it is much harder to prove its harm than its usefulness.


There is a Mr. Sharpe and a bunch of lunatics with him. After the 1987 crisis they set up a fund to demonstrate their portfolio theory. In 1997 they went bust, with all the Schnobel coryphaei losing several hundred million dollars each. Since then they continue to reassure everyone that they are right and take money for their speeches. They no longer have the money for a new fund. So proving useful only in the forum, but no more than that.
 
It is still a mystery to me what the nerds have done to Reshetov. On this newfound website he mentions them again.
 
OK, let's say we have assembled a portfolio of risk-free securities. For example, we have bought all sorts of bonds ranging from US bonds to Greek bonds to European bonds. The yield on these securities is always positive. Hence, in thirty years we can obtain an average yield of 3-4% per annum. The question is, how can you get rich on it? What about derivatives? For example the same futures? Who will pay us in this case?
 
And one more thing. Let's not get into the maze of theory, and take the real-life and best-known stock portfolio in the world, the SP500. Where is the up trend here? And anyway, even if this SP500 is constantly growing, what will be the return on investment? 5% p.a.? 10% p.a.? Will it perform better than a bank deposit?
 
If I understand correctly, by trying many combinations of different securities (you can also change their weights) we get the final up-trend, and hope that it will persist in the future. The idea is cool, because even during the crisis not all stocks fall, for example McDuck didn't fall at all...
 
neoclassic >>:
Если я правильно понял, с помощью перебора кучи вариантов комбинаций разных бумаг (можно еще их веса менять) получаем итоговый аптренд, и надеимся что он сохранится и впредь. Идея прикольная, ведь даже и в кризис не все акции падают, например Макдак вообще не упал..

Just don't get your hopes up because markets are non-stationary. So the portfolio will have to be shaken out from time to time.

The point is that if the portfolio is allowed to drawdown in a calm market, it means that it is not taking into account some factors of the past. Therefore it will not take them into account in the future. And where it is thin, it tears.

If we take two portfolios: one of them is on drawdown and the other is non-breakdown, they both cannot take into account some factors that didn't happen in the past but will happen in the future. However, it is still a matter of how these future factors will be reflected in the portfolios, i.e. will they be profitable or loss-making?

 
Reshetov писал(а) >>

I also don't know why the method developed by Tobin is called the Tobin method, the method developed by Markowitz is called the Markowitz method, the Sharpe ratio is called the Sharpe ratio, and the method developed by Reshetov is not called the alsu method?

This is an outrage.



Levin's Disease (c) The Interns :)
 
neoclassic писал(а) >>
If I understood correctly, by trying a lot of combinations of different securities (you can also change their weights) we get the final up-trend, and hope that it will remain in the future. The idea is cool, because even during the crisis not all stocks fall, for example McDuck did not fall at all...


If you mean Nasdaq, it's more than double 2007. 10.01 - 2866 и 2009.02.01 - 1263.

 
faa1947 >>:

neoclassic >>:
... например Макдак вообще не упал..


Если имеется ввиду насдак, то более чем в два раза 2007. 10.01 - 2866 и 2009.02.01 - 1263.

No, it is McDonalds by the MCD symbol. Of all the securities, DJI is the only one that not only did not crumble in 2008, but also posted a profit for the year.

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