Using Factor Momentum to Optimize GTAA Portfolios
Taking another look at portfolio optimization methods as they apply to relative strength- & momentum-based GTAA portfolios, this time I present a novel method that uses factor momentum in an attempt to tilt the allocation towards the factors behind the…
Portfolio Optimization Algorithm Showdown: GTAA Edition
I was revisiting the choice of portfolio optimization algorithm for the GTAA portion of my portfolio and thought it was an excellent opportunity for another post. The portfolio usually contains 5 assets (though at times it may choose fewer than…
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