Oct 31
Portfolio Comparisons Using QPP
A few days ago I ran a Quantext Portfolio Planner (QPP) test on a rather standard portfolio, looked at the projected returns over the next year for each asset classes, and then made adjustments to see how the Returns, Standard Deviation, Portfolio Autocorrelation (PA), and Diversification Metric (DM) would respond to my changes. Below is a data table show the ETFs I use, the different allocations, and the QPP results. Changing the allocations improved the projected results with exception of Portfolio Autocorrelation. Ideally, we would like that number to move closer to zero, while staying positive. At least that is my understanding of PA based on reading the definition on the QPP web site.
Portfolio Comparisons
| Ticker | Allocation | New Alloc. |
|---|---|---|
| VTV | 10 | 5 |
| VOE | 10 | 20 |
| VBR | 10 | 5 |
| VUG | 9 | 8 |
| VOT | 9 | 15 |
| VBK | 5 | 0 |
| VEU | 12 | 20 |
| VWO | 10 | 5 |
| VNQ | 10 | 0 |
| GSG | 8 | 19 |
| BND | 7 | 3 |
| Return | 10.81% | 11.7% |
| Standard Dev. | 10.45% | 7.86% |
| PA | 28.3% | 48.75% |
| DM | 61% | 72% |
My preference is to invest a minimum of 5% in each asset class, but this did not provide the change needed.
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