As shown in Portfolios that Beat Markets, we compared the performance of the market with portfolios constructed/managed using a) our novel risk measure 'Tsallis Relative Entropy' (TRE) and b) the risk measure 'beta', usually used by investment managers. The back-studies show that, over a period of 6 years or longer, portfolio a) out performs both the market and portfolio b).
Presently we have improved our risk estimates even more by taking into account the asymmetry in stock market returns (see the earlier post Asymmetry in Financial Market returns). The risk tables for October 2022 and all the future risk tables will be this improved risk measure.
We publish our risk tables every two months during the first week of the month, for all US equities in SPY (SP500 ETF) and ONEQ (ETF for Nasdaq), 5G stocks and International stocks. The risk tables for SPY and ONEQ stocks, are given in Portfolio Management under Portfolios that Beat Markets . Here, a tutorial on how to use these risk values to construct/manage portfolios (with dividends re-invested) is also given. October 2022 risk tables are now available.