[Don Krafft]

It appears that the Yahoo data is no longer available. Have you confirmed that the problem is just a format change?

Thanks,

Don Krafft

[Don Krafft]

Thanks very much Alexander. I’ll go back and spend some more time with the “Dynamic Asset Allocation for Practitioner” series. I’m sure we’ll have more discussion.

[Don Krafft]

When volatility increases, eventually the position sizes will be reduced by the equal volatility weight calculation that was given in the paper “Adaptive asset allocation: A primer,” Exhibit 2, by Adam Butler, et al (allocation = 1/n * 1% / [observed volatility of the asset over the past 60 days]).

For the new adaptive allocation strategies, you calculate return and sharp ratio on the weighted combination of two tickers. For the volatility position-sizing calculation, do you use the volatility of the combined two tickers and reduce the position size for each of the two tickers by the same amount? Or do you calculate the volatility for each of the two tickers separately and then reduce the position size of each of the tickers independently?

Thanks very much,

Don Krafft

[Author]

Posts