Core Portfolio Construction

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    Robert Janson

    Can you describe the process and elements used that go into construction of the core portfolios? I do not need to know your secret formula but would like to understand the variables used to construct them. Thanks!


    The Core Portfolios are constructed using the Portfolio Optimizer with parameters as specified in the “Methodology & Assets” section on each portfolios’s description page. The parameters limit the volatility and strategy concentration based on each portfolio’s goal. The Portfolio Optimizer basically looks at thousands of strategy combinations over a historical time period to find the combinations which would have provided the best risk/reward ratios.

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