Our weekly newsletter is up at: https://bit.ly/hZw0Dc, and covers the oft quoted but probably more often misunderstood efficient frontier.

We start by updating the CME’s woefully out of date efficient frontier graph (it only goes through Feb 2008, right before one of the biggest risk/reward shifts in modern history, leading to our well received comment: “not sure what their 2300 employees are doing with the Billions in revenue they take in”), and move into alternative looks at the efficient frontier, including optimal allocations for best return with lowest drawdown, skew, kurtosis, and downside deviation.

Read the whole thing here: https://bit.ly/hZw0Dc

As a sneak peak, the updated (through Oct 2010) ‘normal’ efficient frontier for managed futures, stocks, and bonds:

Past performance is not necessarily indicative of future resuts

Source: Stocks = S&P 500/MSCI World Index ex USA, Bonds = Citi World Govt. Bond Index, Managed Futures = DJ/Credit Suisse Managed Futures Index