TTU116: In Pursuit of the Perfect Portfolio ft. Steve Foerster

Dec 1, 2021

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If we could gather all of the famous investing pioneers from world history into one room and ask them to build the perfect portfolio, what would it look like? Well Steve Foerster and his co-author (and previous guest on the show) Andrew Lo, set out to do just that, with their new book called 'In Pursuit of the Perfect Portfolio'. I thought I'd invite Steve onto the show to discuss his new book, go through some of the 'golden threads' of investing that he came across, his journey in the world of finance, and of course, get his opinion on how close Trend Following is to 'the Perfect Portfolio'.

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In This Episode, You’ll Learn:

Steve's journey to becoming a Professor of Finance and how he ended up co-authoring a book with Professor Andrew Lo
Some of the concepts from the legendary financial experts they interviewed for the book
How closely linked the academic world of finance really is
About some of the most important findings in investment research over the decades
About the "untold" story of an early 20th-century mathematician, Louis Bachelier
Harry Markowitz' story
What Eugene Fama's Perfect Portfolio looks like
About William Sharpe and his now famous 'Sharpe Ratio'
How the phrase 'beta' came about
How computers enabled researchers to access deeper insights into the world of investing
About the debate between active and passive investing
Whether volatility should still be considered as a measure of risk
About the progression of volatility data into today's investment models
About the story of Eugene Fama
How Steve views the question of 'what is the perfect portfolio?'
Whether Steve considers Trend Following investing as, essentially, a perfect portfolio

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