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yuvaltaylor
Portfolio123 blog

We’ve launched a blog, which you can access here: blog.portfolio123.com. (In the near future there will be a link to the blog at the top of the page.)

I will be posting at least one new article a week (all the articles currently on the blog have already been published on Seeking Alpha, but a new one will come out this week). Occasionally these articles will be revisions of articles I wrote a little while ago, but I hope to keep the content fresh by publishing mostly new pieces. There will also be articles written by others. If you would like to contribute an article to the Portfolio123 blog, please e-mail me at yuval@portfolio123.com.

The blog articles are designed for a general audience and are meant to interest outsiders in our website. They are not for intricate discussions of Portfolio123 features. Those discussions belong in the forum.

If you have any suggestions for subjects to cover, I’d welcome them.

- Yuval

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Nov 27, 2019 4:31:58 PM       
Edit 1 times, last edit by yuvaltaylor at Nov 27, 2019 11:33:27 PM
judgetrade
Re: Portfolio123 blog

super!!!

Nov 28, 2019 1:56:44 AM       
geov
Re: Portfolio123 blog

Yuval,
Your latest blog "The Magic of Combination: How Mixing Strategies Can Improve Results" refers.

Can you please put the 16 factor system up as a DM so we can follow out of sample performance. As we now know, backtest performance does not indicate future performance as proven by the poor historic 5-year performance of the 75 DMs which are at least 5 years old. And it's not just a function of members being unfamiliar with the P123 platform either, the 9 DMs from the P123 Team members have performed no better.

Your conclusions in the blog are based on backtest results and may not be valid out of sample. One will have to watch this for at least 5 years to validate the inference of your blog.

Dec 11, 2019 12:47:34 PM       
yuvaltaylor
Re: Portfolio123 blog

Yuval,
Your latest blog "The Magic of Combination: How Mixing Strategies Can Improve Results" refers.

Can you please put the 16 factor system up as a DM so we can follow out of sample performance. As we now know, backtest performance does not indicate future performance as proven by the poor historic 5-year performance of the 75 DMs which are at least 5 years old. And it's not just a function of members being unfamiliar with the P123 platform either, the 9 DMs from the P123 Team members have performed no better.

Your conclusions in the blog are based on backtest results and may not be valid out of sample. One will have to watch this for at least 5 years to validate the inference of your blog.


Georg -

The 16-factor system I proposed was one I pretty much made up off the top of my head to show how combining seemingly incompatible strategies improves results. It is not a system that I am going to use for investing, nor one that I would suggest that others use for investing. It is therefore not appropriate for a designer model. Designer models should ideally be all-weather, well-thought-out, tried-and-true models that the designer really believes in and that the designer is willing to put his or her own money behind. The system I proposed was proposed for the sake of argument. It was not backtested beforehand and for all I know the system might be better without some of the sixteen factors; it certainly could be improved by adding additional factors.

The piece was written in the hope that people would try taking their OWN seemingly incompatible strategies and combine them by averaging the weights of their factors in one more comprehensive system. I believe that people will get better results by doing so because of the way our ranking systems work.

I do plan to offer a new designer model at some point in the next few months, but it's going to take me a while to develop it.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Dec 11, 2019 10:38:43 PM