A shock to the covariance system
Modern portfolio theory relies on the assumption of normal returns. In this post we explore how to shock a covariance matrix to create fat tails.
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High Yield Bond ETFs: Liquidity Time Bombs?
Does the rapid adoption of high yield bond ETFs and the mismatch of liquidity between the ETF and the underlying bonds create a ticking liquidity time bomb?
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Risk Managing Risk Management
Developing a robust risk management sleeve requires a thorough consideration of risk management capabilities and costs for each strategy.
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Math Tests, Birthdays, O.J. Simpson, and Texas Sharpshooters
This blog post is available as a PDF here. Summary Humans are
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Diversification opportunities in fixed income
This blog post is available as a PDF here. Summary Many investors
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Diversification Will Always Disappoint
This blog post is available as a PDF here. Summary For its
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Crisis whack-a-mole
This blog post is available as a PDF here. Summary In a
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The State of Risk Management
How effective is your method of managing portfolio risk? We
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The asymmetry zone
This blog post is available as a PDF here. Summary  The math
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Indexed Annuity: Masking Risk, Not Destroying It
What is an Indexed Annuity? In recent conversations with current and
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Alpha is not a risk management technique
You can download this blog post here. Summary Investors often
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The Cost of Protection
This blog post can be downloaded here. Summary One of
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When ingredients spoil
This post is available as a PDF here. Summary We break
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Putting Current Volatility Into Perspective
Putting the current S&P 500 downside volatility into perspective.
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Missing the Best and the Worst
By missing the best market days, one can often also miss the worst market days and achieve an better outcome than simply buying and holding.
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Hedge Hunting: Wrangling the VIX
Can ETF instruments like VXX and XIV be combined to get the benefits of spot VIX exposure without all the negative roll yield of futures?
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2 Ways to Lower Portfolio Drawdown
Portfolio drawdown can be reduced by allocating to strategies with lower drawdown, but low drawdown strategies are not the only way to manage downside risk.
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But Let’s Assume We’re Wrong
This weekly commentary is available as a PDF here. Commentary Summary
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