Proportional Minimum Variance Algorithm:

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This is a support page for the upcoming "Proportional Minimum Variance Algorithm" paper. The paper presents a new heuristic portfolio allocation algorithm developed by David Varadi. The Proportional Minimum Variance Algorithm is fast, robust, and easy to implement.

Here are the support documents:

• Minimum Variance Algorithm (MVA)
• Minimum Variance Algorithm (MVA) Test Drive
• Minimum Variance Algorithm (MVA) Excel Sheet
• Monthly Back Test reports
• R code

Please stay in touch, the "Proportional Minimum Variance Algorithm" paper is coming soon.

To reproduce the back-test reports presented in the paper, please execute following R code:

###############################################################################
# Load Systematic Investor Toolbox (SIT)
###############################################################################
setInternet2(TRUE)
con = gzcon(url('http://www.systematicportfolio.com/sit.gz', 'rb'))
    source(con)
close(con)

# Load supporting R code for Minimum Variance Algorithm Paper
con=url('http://www.systematicportfolio.com/bt.min.var.R')
    source(con)
close(con)

#*****************************************************************
# Create Reports
#*****************************************************************
min.var.paper.backtests()