Kev @kev_inverse
Diversification for the long run📈 Remember the Cant Joined October 2022-
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This guy is in my DMs sending me shirtless pics and telling me to "GET STACKED BRO" @choffstein
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Really enjoying this series
Really enjoying this series
Kev retweeted
@AzorInfo Those two problems are probably related; newer managers who have small AUM will also have a smaller sample of trailing data with which to evaluate performance. IMO, that means performance needs to be evaluated based on strategy type and factor exposures, *not* trailing returns.
Kev retweeted
There are two types of people. Some will look at this and say, "why bother?" Others will say, "in sample, the more diversified thing ended up at the same place as the more concentrated thing? Great. I'll take more diversification for the out of sample period."
There are two types of people. Some will look at this and say, "why bother?" Others will say, "in sample, the more diversified thing ended up at the same place as the more concentrated thing? Great. I'll take more diversification for the out of sample period."
Kev retweeted
@kev_inverse @BigBoyBern80872 @HML_Compounder This may shed some light on the discussion: Analysis Details: * Daily bootstrap: 10,000 iterations with replacement Period: 2000-01-31 to 2023-01-31 * Based on SIMULATED trend replication returns from whitepaper (investresolve.com/lp/peering-aro…) * Includes slippage, commissions, 2%…
Kev retweeted
@0xfdf @__paleologo Most investors (ie 60/40) should expect a pre-tax annualized Sharpe ratio of ~0.4. Stacking alternative betas (diversified trend + carry + merger arb + multi-strat equity mkt neutral) might approach an expected Sharpe of 1 pre-tax. Lesson being that unless you’re a top decile…
One of my favorite writings from @CliffordAsness "Risk Parity: Why We Lever" aqr.com/Insights/Persp… Everyone talks about the risks of leverage but few consider the risks of concentration
Kev retweeted
@kev_inverse Thanks for posting. Found a backgrounder for those curious. PORTFOLIO OPTIMIZATION AND THE SHARPE MULTIPLIER: investresolve.com/portfolio-opti…
Thanks @choffstein🙏 Now we just need the integrated combo😉
The good news is there’s this cool thing you can do move up and to the left on the chart without being misleading
The good news is there’s this cool thing you can do move up and to the left on the chart without being misleading
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