Feynman Portfolio Study: Part 7

In Parts 1 to 3 of the Feynman Portfolio Study I examined the roles of  diversification and optimization in Portfolio Construction.

Part 4 focused on the re-balancing of “Classic” US Equity/Bond portfolios and Part 5 introduced the concepts of “Momentum” investing.

In  Part 6 of the Study I focused on Risk Management and the use of filters (ITARR Moving Average or SHY Momentum) to avoid large drawdowns and reduce overall portfolio volatility. These Risk Management techniques were applied to the portfolios introduced in Parts 1 to 5 of the Study to demonstrate the advantages and drawbacks of the various strategies and tactics.

In Part 7 of the Feynman Portfolio Study I start to address some of the “fine tuning” aspects of portfolio construction and management.

This begins with an examination of the impact of evaluation/adjustment/re-balance frequency on Portfolio Performance. As an example I have taken the best performing portfolio examined to date (the quarterly adjusted “Momentum Weighted” portfolio described in Section 6.2.6) and simply applied the same construction rules but with monthly rather than quarterly adjustments.

The results of the analysis are contained in the downloadable Word document available here with detailed asset holding and allocation information provided in Appendix 14 downloadable here.

David