Portfolios that Beat Markets

In constructing portfolios that are expected to beat markets, we need to look at how  portfolio returns(in excess of markets) vary with relative risk measure (relative to the markets). The risk measure that is usually used is the 'beta'.  Using non-extensive statistical mechanics, we define a new risk measure called 'Tsallis relative Entropy' (TRE).  A description of the new measure,  the historic performance of the portfolios  based on this measure and a step by step tutorial on how to construct and manage the portfolios  are given in the following. 

 

 

 

     A New Risk Measure

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     Portfolio Performance

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     Portfolio Management

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Disclaimer:
 

The tools provided by EntropicDynamics are research tools to help self-directed investors evaluate securities. Information supplied is for information purposes only and should not be considered investment advice or an offer of guidance. Our research and tests are carried out on the past data, which is not a guarantee of future results. EntropicDynamics is not liable in any way for any financial loss that might occur in using the information and tools provided in this web site to future data.