Andrew B. Weisman on MVO(Mean Variance Optimization);

The use of this technique, in combination with the informationless performance-enhancement techniques that are frequently employed (knowingly or unknowingly) by professional investors, tends to produce portfolios that are optimized to produce maximal future period losses; systematically denigrated from a liquidity standpoint; and actively inclusive of managers that make use of money management strategies that imply catastrophic losses of capital. It is my firm belief that unless Harry Markowitz had a truly ironic sense of humor, this was not his intent. Since this time, savvy investors have begun to employ several compensating techniques in order to accommodate the peculiarities of hedge fund data, including conditional value at risk (CVaR) in recognition of the distinctly nonsymmetric, left tail-skewed, reality of hedge fund investing, resampled optimization in recognition of the frailties of error estimation and the fact that life is,sadly, out of sample