Chapter 5 - Achieving Target Returns
Legacy | Wealth | Preservation • 16m
How we can use the Sharpe Ratio and meet financial goals with a maximally diversified portfolio...
Points of discussion:
• Using leverage in a robust and diversified portfolio
• Preserve diversification while achieving target returns
• Credit is not a distinct asset class and does not increase diversity
• Integrating your Bets
• The repercussions of levering up
• What makes Risk Parity hard
Up Next in Legacy | Wealth | Preservation
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Chapter 6 - Raising The Stakes
How we can add more bets to maximize diversity...
Points of discussion:
• Style Premium, Factors, Smart Beta
• Efficient negative Sharpe ratios
• Redemptions and “Noise Traders” -
Chapter 7 - Tactical Alpha
How we can move from Factor Beta to Alpha...
Points of discussion:
• Swensen, Yale and aligning incentives
• The cycles of factor investing
• Machine learning, the Bias/Variance trade off and Alpha
• Ensembles
• Sustainable Alpha through continuous Innovation -
Chapter 8 - Liquidity Vanishes
How we can manage for scenarios when liquidity evaporates...
Points of discussion:
• The mechanics of a Liquidity Shock
• The Fed and the Long Volatility Gap
• Diversification, Tail Hedge Protection and Theta Bleed
• Dennis Rodman and the Long Vol Trade
• Yield, Growth, ...
