Monex Vision - Portfolio Analyzer

[Kanto]

Monex Vision - Portfolio Analyzer allows you to include stocks you might have at other brokerages, which is quite handy.

HOWEVER, the system seems to skew very heavily towards domestic stocks. Even at an aggressive settings.

It did not like my portfolio much at all... thoughts?

Porfollio.jpg (24.82 KiB) Viewed 554 times

[mighty58]

The bias towards J-equities is so high it renders it completely useless, but interesting to compare nonetheless.
I see we're both 積極型 and both with 2 stars, but mine recommends even more J-equities than yours.

[fools_gold]

It's probably down to currency risk. All their portfolios seem to recommend holding Japanese and foreign stocks in roughly equal amounts, and their lower risk portfolios have equal amounts of Japanese and foreign bonds.

The 2-star rating is because they think you can get better returns for the amount of risk in your portfolio. They appear to be using modern portfolio theory to come up with the asset allocations, so it's probably never going to like a Boglehead "buy the world" approach because it's a fundamentally different investing strategy.

edit: Also MPT makes use of expected returns. They may be recommending more Japanese stocks because valuations for US stocks are quite high at the moment.

[Kanto]

It's probably down to currency risk. All their portfolios seem to recommend holding Japanese and foreign stocks in roughly equal amounts, and their lower risk portfolios have equal amounts of Japanese and foreign bonds.

The 2-star rating is because they think you can get better returns for the amount of risk in your portfolio. They appear to be using modern portfolio theory to come up with the asset allocations, so it's probably never going to like a Boglehead "buy the world" approach because it's a fundamentally different investing strategy.

edit: Also MPT makes use of expected returns. They may be recommending more Japanese stocks because valuations for US stocks are quite high at the moment.

ポートフォリオ理論の平均分散モデルや、ブラック・リッターマンモデルといった数理モデルをベースに計算を行っています。主に、分析やアドバイスのベースになる期待リターンやリスクの計算にはブラック・リッターマンモデルの考え方を、具体的なアドバイスや目標ポートフォリオの資産配分の決定には平均分散モデルの考え方を取り入れています。

Calculations are based on mathematical models such as the mean-variance model of portfolio theory and the Black-Litterman model. Mainly, the Black-Litterman model is used to calculate expected returns and risks, which are the basis of analysis and advice, and the average variance model is used to determine the asset allocation of specific advice and target portfolios.

https://en.wikipedia.org/wiki/Black%E2% ... rman_model

I suppose they do not take into account that world-market index funds will rebalance themselves?

[fools_gold]

ポートフォリオ理論の平均分散モデルや、ブラック・リッターマンモデルといった数理モデルをベースに計算を行っています。主に、分析やアドバイスのベースになる期待リターンやリスクの計算にはブラック・リッターマンモデルの考え方を、具体的なアドバイスや目標ポートフォリオの資産配分の決定には平均分散モデルの考え方を取り入れています。

Calculations are based on mathematical models such as the mean-variance model of portfolio theory and the Black-Litterman model. Mainly, the Black-Litterman model is used to calculate expected returns and risks, which are the basis of analysis and advice, and the average variance model is used to determine the asset allocation of specific advice and target portfolios.

https://en.wikipedia.org/wiki/Black%E2% ... rman_model

Interesting. Mean-variance analysis is just another name for MPT, and Black-Litterman is an extension of that. Basically, the aim is to optimize the risk/returns by putting together a portfolio of uncorrelated assets.

I suppose they do not take into account that world-market index funds will rebalance themselves?

A world-market index funds allocates by market cap, so the allocation is not fixed. For example, if EM stocks are 10% of the world and they fall by 20%, then they will now make up 8% of the fund. There's no rebalancing. An MPT portfolio, on the other hand, will have fixed allocations.

Because the investment strategies are different, a portfolio analyzer like Monex's probably isn't going to give a Boglehead type portfolio a good rating.