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Richard Oberuc began the formulation and programming of the mathematical technique that would be called Dynamic Asset Allocation. The innovative insight was the design of a linear programing formulation that learned to use a long history of monthly macroeconomic and market-based factors to control monthly changes in forward-looking portfolio allocations. A patent application for the software framework was granted in 2008.
Philip Nehro determined that investors would see value in an investable strategy based on the Dynamic Asset Allocation procedure that changes allocations to avoid or reduce the impact of losses. Richard Oberuc began working on the specifics of the Chapoquoit Dynamic Portfolios. It took five years of rigorous research to determine the ideal set of diversified low-correlated ETFs along with the most effective macroeconomic and market factors to control asset allocations. A rigorous research study using out-of-sample portfolio performance from 1993 to 2012 provided compelling confidence in the potential of the Chapoquoit model quantitative learning process. This process learns from causative monthly conditions using data as far back as 1973.
The funding of Chapoquoit Dynamic Portfolios was launched in November 2012. Oberuc and Nehro began offering Chapoquoit Dynamic Portfolios as Separately Managed Accounts (SMAs). Since the inception of Chapoquoit, the track record to date has supported Oberuc’s original research conclusions. A broad range of new investors have found confidence in the Chapoquoit model’s quantitative learning process to minimize portfolio losses while achieving competitive equity market returns.