Have a look at the article "Low-risk equity portfolio management…" at http://www.iqfront.com/whitepapers.html
To put a long story short, the strategy described therein essentially involves periodically rebalancing a large-cap stock portfolio to achieve a minimum risk in terms of the Markowitz theory.
Although the strategy does not claim to provide stellar returns, it has two features which sound rather appealing to me: It is semi-passive (i.e. requires very little trading) and the performance appears to be very robust across different market conditions. In particular, the recent financial turmoil appears to have left the traded portfolio with few scars only.
I would be interested to know if someone has successfully applied something like this, also on the smaller time frames.
To put a long story short, the strategy described therein essentially involves periodically rebalancing a large-cap stock portfolio to achieve a minimum risk in terms of the Markowitz theory.
Although the strategy does not claim to provide stellar returns, it has two features which sound rather appealing to me: It is semi-passive (i.e. requires very little trading) and the performance appears to be very robust across different market conditions. In particular, the recent financial turmoil appears to have left the traded portfolio with few scars only.
I would be interested to know if someone has successfully applied something like this, also on the smaller time frames.
