Reviews of Volatility-Based Allocation
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When Empiritrage released the initial report we were hoping others in the blogosphere would continue to work on the idea.
Our dream came true:
- First, CXOAdvisory.com rebacktested the strategy
- Next, Meb highlighted the concept in his sweet “Idea Farm”
- Finally, Woodshedder, a blog I was previously unfamiliar with, but am now happy to add to my RSS feed, just did some analysis on the system.
If you’ve done any work on the system, please share and I’ll post. I know there are multiple ways in which investors can improve upon the VBA system Empiritrage originally explored.
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Definitions of common statistics used in our analysis are available here (towards the bottom)