Phew I'm late but would love to join in. A bit blown away, but interesting what you're doing. What would interest me?
- how did you go about selecting ETFs? Did you try to fit them according to certain metrics or did you go more about looking at what fan exposure results and what country diversification results?
I made it easier for myself. I chose factor ETFs on regions, but not in such detail. The aim was to make things less complicated. I wouldn't want to do the work involved in rebalancing.
If you have optimized for certain values such as overperformance over period x (return or return/risk...), have you taken into account that you will fall into overfitting?
- how did you go about selecting ETFs? Did you try to fit them according to certain metrics or did you go more about looking at what fan exposure results and what country diversification results?
I made it easier for myself. I chose factor ETFs on regions, but not in such detail. The aim was to make things less complicated. I wouldn't want to do the work involved in rebalancing.
If you have optimized for certain values such as overperformance over period x (return or return/risk...), have you taken into account that you will fall into overfitting?
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22
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2Mês
@SchlaubiSchlumpf Since I want to answer you in detail, I'll have to put you off until tomorrow evening. I have actually given it some thought. But I still have to put it into text form. Thank you for your feedback.
I'll file it under positive for now ☺️
The beginning, let me say, was the question of what modern financial models there are, what they deal with and actually a webinar by L&G. Avoiding "cluster risks". Logically, it was also about $GERD.
PS: no, I didn't take overfitting into account. I just did it. But as I said, I will convert my assumptions and thoughts into text as best I can.
I'll file it under positive for now ☺️
The beginning, let me say, was the question of what modern financial models there are, what they deal with and actually a webinar by L&G. Avoiding "cluster risks". Logically, it was also about $GERD.
PS: no, I didn't take overfitting into account. I just did it. But as I said, I will convert my assumptions and thoughts into text as best I can.
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@Bidax I wouldn't do it myself, but I'm impressed by what you've achieved. Maybe I would do the work myself if I were managing thirty times the capital 😁
But basically positive if certain things have been taken care of. But you'll know more about the Fama-French than I do.
But basically positive if certain things have been taken care of. But you'll know more about the Fama-French than I do.
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11
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@SchlaubiSchlumpf I have studied strategic asset allocation according to Markowitz and Black-Litterman as well as the multi-factor & risk models Fama-French 3- & 5-Factor of the Carhart extension and the Barra system of MSCI. I read and tried to get to grips with my limited resources.
For the country weighting, I was inspired by Kommer and tried to implement the GDP and market capitalization calculation for myself. But I did this in a rather shirt-sleeved way and not like the financial professionals.
I then used Fama to come up with the size factor and valued large at 50%, mid at 30% and small at 20%.
Roughly speaking, that was the way. But I will try to answer your questions in detail.
PS: I don't even have a fraction of your capital to manage (see short description of your profile), but I want to have done everything I can to ensure that things go in the right direction.
For the country weighting, I was inspired by Kommer and tried to implement the GDP and market capitalization calculation for myself. But I did this in a rather shirt-sleeved way and not like the financial professionals.
I then used Fama to come up with the size factor and valued large at 50%, mid at 30% and small at 20%.
Roughly speaking, that was the way. But I will try to answer your questions in detail.
PS: I don't even have a fraction of your capital to manage (see short description of your profile), but I want to have done everything I can to ensure that things go in the right direction.
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11
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1Mês
@SchlaubiSchlumpf I didn't get around to it all day today... But I will reply in a binding and detailed manner
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@Bidax I went for gold with EWG2. That's 10% for me. I've left bonds alone. I currently have about 5 Bitcoin. I don't know yet whether I'll leave that in.
I don't think I will personally include bonds. To my limited knowledge, they are perhaps better for the Sharpe ratio and less for alpha. Unless I start leveraging them or doing crazy things. But if you find information here that is worth more than my incomplete knowledge, please let me know. I'll have to analyze my portfolio again. ChatGPT has told me that despite 30% momentum in the equity part, I am underweighted in momentum due to the high value share 😂 but since ChatGPT is not a reliable source, I'll probably have to do the math myself
I don't think I will personally include bonds. To my limited knowledge, they are perhaps better for the Sharpe ratio and less for alpha. Unless I start leveraging them or doing crazy things. But if you find information here that is worth more than my incomplete knowledge, please let me know. I'll have to analyze my portfolio again. ChatGPT has told me that despite 30% momentum in the equity part, I am underweighted in momentum due to the high value share 😂 but since ChatGPT is not a reliable source, I'll probably have to do the math myself
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@SchlaubiSchlumpf I am therefore looking forward to your means, ways and tools 😅
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@Bidax If only because minimum volatility is not a factor and only ruins my momentum, I have to go for it 😂
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1Mês
@SchlaubiSchlumpf I see that we swing in a similar way. I would really like to have a phone call to exchange ideas
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1Mês
In parallel to my offline (reading books) and online research, I have been extremely busy with prompt engineering. The better the prompt, the better the result.
Sometimes I use ChatGPT 03pro with DeepResearch and Claude Opus 4, also with extended thinking. Everything is always cross-checked and the need to provide evidence.
Sometimes I use ChatGPT 03pro with DeepResearch and Claude Opus 4, also with extended thinking. Everything is always cross-checked and the need to provide evidence.
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