Let's open the black box

I develop my own kind of investment strategy with a special focus on data accessibility and feasibility. My goal is to show how any individual can take control over her own finance using an open strategy that is still competitive with the market and/or with other investment alternatives.

With the help of just a few simple rows of code and publicly available data, this strategy begins with a version of the parametric portfolio policy. In essence, it uses the two asset factors: past trading volume, and market beta for finding the optimal asset allocation.

As of 3 July 2022, following this strategy, I made my first “purely platonic” investment of which the allocations and outcomes are displayed below. 

The investible universe is restricted to the OMX Stockholm 30 Index (^OMX) constituents. Having only approximate 30 different stocks to choose among may seem slightly limited. But for me, it makes a good and fairly feasible base to start with.

Next, I will show you a more detailed illustration of the most important element of the strategy.