Introduction The aim of this post is to give the updated baseline portfolio weights of the Polar Star Diversified Commodity Fund for the fourth quarter of 2020. We employ the Black-Litterman methodology to tilt the allocations slighlty toward the underlying fund the greater return expectations and confidence. For more details on the process please see this link as well as other referenes therein.
Baseline Weights To obtain baseline weights, we perform a risk-adjusted return portfolio optimisation with the returns stream of the three underlying funds
Introduction The aim of this post is to give the updated baseline portfolio weights of the Polar Star Diversified Commodity Fund for the third quarter of 2020. We employ the Black-Litterman methodology to tilt the allocations slighlty toward the underlying fund the greater return expectations and confidence. For more details on the process please see this link as well as other referenes therein.
Baseline Weights To obtain baseline weights, we perform a risk-adjusted return portfolio optimisation with the returns stream of the three underlying funds
Introduction The aim of this post is to give the updated baseline portfolio weights of the Polar Star Diversified Commodity Fund for the second quarter of 2020. We employ the Black-Litterman methodology to tilt the allocations slighlty toward the underlying fund the greater return expectations and confidence. For more details on the process please see this link as well as other referenes therein.
Baseline Weights To obtain baseline weights, we perform a risk-adjusted return portfolio optimisation with the returns stream of the three underlying funds