About Paulo Gonçalves

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So far Paulo Gonçalves has created 7 blog entries.


PASS is a technology-based company that develops R&D activities in the area of information technologies. The PASS project aims to develop an adaptive Intelligence system to support decision making, incorporating predictive and optimization capabilities to indicate near-optimal solutions, and also including adaptability / learning to improve future solutions. The aim of this system is to [...]


Asset Allocation

Asset Allocation Model (Moderate Risk) Takeways Benchmark: 40% Equities, 40% Bonds, 10% Alternatives,10% Commodities; Max Draw-Down: -11,6% Average Return (year):8,1% Volatility:1,3% Asset Allocation Breakdown Asset Allocation (July 2016) Asset Allocation Model - Monthly Returns Table [...]


Recession Risk Model

Recession Risk Model Observations Target: Probability of a recession over the next 12 Months in US; Use of Economic data to assess Recession risk in US; Calculated Monthly; Except for 2014, Oil price drops when probability of recession increases above 40%


Oil Strategy

Oil Strategy Backtest Acumulated Returns (Oil CL1) Backtest Acumulated (Log) Returns (Oil CL1) Takeways Model improves results with time Losses are penalized. Model is forced to stay out of the market in times of greater uncertainty Max. Draw-Down [...]