Comments on: Endowment Returns, & A Paper About My Paper

By: Jason70

Jason70 — Fri, 25 Sep 2009 22:00:50 +0000

I wonder how *any* strategy could be proven fail safe.

By: Ben

Ben — Fri, 25 Sep 2009 21:25:19 +0000

http://dshort.com/articles/2009/diversification...

By: Ben

Ben — Fri, 25 Sep 2009 21:23:58 +0000

However, I freely admit that I did not understand the paper's conclusions regarding volatility and drawdown risk.

By: Ben

Ben — Fri, 25 Sep 2009 21:17:46 +0000

Hrm. I disagree Name.

What I got out of the paper was less that "he's on to something" and more that the Ivy model falls within the expected range for a random distribution of possible market outcomes. It happens to beat the market with historical data, but it could just as easily fall below in different market conditions. There's no intrinsic bias above the efficient frontier in this approach (which is a bummer, since I've just implemented the Ivy Portfolio in my retirement account).

But I'm very curious to hear Mebane's take on it - I could easily be misunderstanding the paper.

By: Anonymous

Anonymous — Fri, 25 Sep 2009 21:02:37 +0000

This is very interesting, but it would be great to see how all of these endowments have done over the last ten years. The worst performers this year could still be the best performers over the long term.

By: rsmlp

rsmlp — Fri, 25 Sep 2009 17:02:56 +0000

actually inoddy the markets ARE NOT correlated. not sure how you measure correlation but commodities are not correlated to stocks and so on. sure, during a complete meltdown everything that trades pretty much tanks but that's extremely unusual. I think everyone but the complete naive expect the model to USUALLY underperform the sp. the key is that the we also expect the sp to rise over the long run and we're content with similar returns with less drawdown. I will be very surprised if the classic 5 asset 10 mo ma model does not underperfrom a bh of the sp from 2009-2018-and quite happy if it still makes 10% or so.

By: Jason70

Jason70 — Fri, 25 Sep 2009 17:00:50 +0000

I wonder how *any* strategy could be proven fail safe.

By: Ben

Ben — Fri, 25 Sep 2009 16:25:19 +0000

http://dshort.com/articles/2009/diversification...

By: Ben

Ben — Fri, 25 Sep 2009 16:23:58 +0000

However, I freely admit that I did not understand the paper's conclusions regarding volatility and drawdown risk.

By: Ben

Ben — Fri, 25 Sep 2009 16:17:46 +0000