FinanceGeek
Recycles dryer sheets
- Joined
- Jun 30, 2007
- Messages
- 374
Probably everyone who follows passive investing is aware of the various commentators who've published model "lazy" portfolios, these portfolios are usually composed of a blend of various ETFs, Vanguard funds, or DFA funds. A few names which come to mind who have published such portfolios include Paul Farrell, Paul Merriman, Ben Stein, Jim Lowell, Bill Shultheis, Roger Nusbaum, and probably a few others I haven't at hand right now.
Has anybody ever sat down and analyzed any of these portfolios to see how they have performed historically (by "performed" I mean not just the basic measures of return and volatility, but also MPT measures such as alpha, Sharpe ratio, Treynor ratio, etc.)?
I realize this post might sound like not only am I looking to invest in a lazy portfolio, but I'm even too lazy to analyze the various ones that have already been published. Actually that's not (entirely) the case, the fact is I am a very LBYM type, and my portfolio is not yet of the size to justify purchasing the professional portfolio management software (e.g. Captools et. al) to do this kind of analysis - and wonder if others may have done it already.
Has anybody ever sat down and analyzed any of these portfolios to see how they have performed historically (by "performed" I mean not just the basic measures of return and volatility, but also MPT measures such as alpha, Sharpe ratio, Treynor ratio, etc.)?
I realize this post might sound like not only am I looking to invest in a lazy portfolio, but I'm even too lazy to analyze the various ones that have already been published. Actually that's not (entirely) the case, the fact is I am a very LBYM type, and my portfolio is not yet of the size to justify purchasing the professional portfolio management software (e.g. Captools et. al) to do this kind of analysis - and wonder if others may have done it already.