Research & Publications

WallStreetCourier – Research Paper

Modern Portfolio Theory 2.0 – The Most Diversified Portfolio

In recent years, new portfolio construction techniques focused on risk and diversification rather than expected average returns have become quite popular. This success has been due to an increasing acknowledgment that a traditional balanced portfolio, where 60 percent is allocated in equities and the remaining 40 percent is invested in bonds, is not diversified at all.

It may look balanced from a capital allocation point of view, but it is not from a risk perspective, as equities are the main risk contributor within such a portfolio.

We review a portfolio construction technique, called “Maximum Diversification,” which has shown incredible results so far.

This article was published and awarded as Editor’s Pick on Seeking Alpha on Nov. 28th, 2012

WallStreetCourier – Research Paper

The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation!

We analyze and compare ten popular portfolio construction techniques by applying an advanced Monte Carlo simulation to avoid using historical data. Therefore, we will be able to get an unbiased view of the pros and cons of each single portfolio construction technique.

This article was published and awarded as Editor’s Pick on Seeking Alpha on Sep. 24th, 2013

WallStreetCourier – Research Paper

Golden Cross or other Simple Moving Average Crossover Strategies? A Critical Quantitative Review

Do Moving Average Crossover Strategy Really Provide Any Value For Investors?

Within the last decade most moving average crossover strategies have worked out very well for their followers as they prevented them from being invested in equities during the Tech Bubble and the Financial Crisis, respectively.
Nevertheless, most of those crossover strategies have underperformed the broad equity market since 2009.
In this article, we will analyze all possible moving average crossover signals for the S&P 500 (IVV) from 1928-12-31 until 2014-06-11, to get an insight if such strategies provide any (additional) value for investors!

Download “Golden Cross or other Simple Moving Average Crossover Strategies?” (pdf-file)

WallStreetCourier – Research Paper

The Most Diversified Inflation-Proof Retirement Portfolio!

Many investors are in the need of an inflation proof portfolio since a heavy loaded bond portfolio won’t be the perfect hedge fortheir demands. So diversifying a portfolio’s income stream with investments that are less affected by inflation is the only way how to fight the upcoming inflation threads.

This article was published on Seeking Alpha on March 9th, 2014

WallStreetCourier – Research Paper

Myth Or Truth: Is The Golden Cross A Shiny Investment Approach? An Empirical Investigation

You probably have read a lot about the “Golden Cross” on different financial media and maybe you even thought of following such an investment strategy. The “Golden Cross” is a technical pattern which occurs when the 50 day moving average of a specific underlying security crosses above its respective 200 day moving average.

The claim is that the “Golden Cross” quantifies the improvement in the trend of the underlying security and will lead to a significant uptrend!

Download “Myth Or Truth: Is The Golden Cross A Shiny Investment Approach? An Empirical Investigation” (pdf-file)

WallStreetCourier – Research Paper

Behind The Myth Of The Best 10 Days!

The “Do not Miss the Ten Best” -theory indicates that missing just a small percentage of the market’s best days dramatically reduces investor returns!

Download “Behind The Myth Of The Best 10 Days!” (pdf-file)