Man on Asset Drawdowns
Today’s post looks at a recent paper from Man Group on Drawdowns across asset classes.
Category: What works
Rethinking Equity Tail Risk
Today’s post looks at a recent paper from HSBC multi-asset team on how to think about equity tail risk hedges.
T-Bills and Chill
Today’s post looks at a 2024 note from Meb Faber of Cambria Asset management on whether to invest in short- or long-term bonds.
Quantica on Stacking
Today’s post looks at a recent paper from Quantica Capital called “If You Can’t Beat It, Stack It”.
The Optimal Stack
Today’s post is about a recent article from NewFound and ReSolve about the best possible stacked portfolio.
The Overnight Effect
Today’s post is about a well-known feature of the markets that has proven difficult to exploit.
The Forward Cap Portfolio
Today’s post is about a new portfolio from Cullen Roche called the Forward Cap Portfolio.
RPC Stacked Portfolios
Today’s post looks at the portfolios tracked on the Risk Parity Chronicles website, and in particular, their use of leverage.
Shannon’s Demon
Today’s post is about Shannon’s Demon, the basis for the only free lunch in finance.
Tactical Asset Allocation Recap
Today’s post is a catch-up on what I’ve already written about tactical asset allocation.
Crisis Alpha Recap
Today’s post is a catch-up on what I’ve already written about crash protection and crisis alpha, and a summary of my direction of travel.
Leverage Recap
Today’s post is a catch-up on what I’ve already written about the use of leverage, and a summary of my direction of travel.
