Optimizing Ivy Portfolio (2)
Last time we attempted to optimize an Ivy Portfolio with very conservative rules to implement the principle of “winning by not losing” and it went quite well. Now just as Quantum Financier mentioned last time, what if we loose some constrains? Presumably, we should be rewarded by more return for taking extra risk.
To make it more observable, I started from the CVaR Ivy Portfolio in my last post and changed several rules below. All of these changes are essentially telling one thing to the model, “go out there to take more risks”.
1. Optimizer: Minimize CVaR -> Maximize Sharpe Ratio (minimizing variance and maximizing expected return at the same time)
2. Timing Signal: 12-month SMA -> 12-month EMA (focusing more on short-term momentum)
3. Weight Constrain: [0, 1] -> [-0.5, 1.5] (higher leverage)
4. Number of assets in the portfolio: 3 -> 6 (broader coverage)