A week ago, Corey Hoffstein tweeted that something strange was happening inside CTA. CTA is the Simplify managed futures ETF, and for a long time it’s been one of the best performers in its category. That tweet sent me back to two tweets I wrote years ago: I had owned Read more
I’m not sure how useful this post will be for a big chunk of you. I’ve been doing some research for a project, how much it costs to rebalance an ETF portfolio if you’re an investor living in Italy, and figured I’d share it rather than let it sit in Read more
I came across a post on r/LETFs about building a “super cash” position, something safely juiced to beat inflation. It got me thinking about a question I hear more than almost any other: Beat inflation. Stay liquid. Don’t take much risk. That’s it. That’s the ask. Between my podcast and Read more
I’ve been messing around with the Testfol.io Monte Carlo Simulator. The free tier is pretty crippled — 500 simulations, 15-year cap — but Testfol.io is literally the only place where we have a decent Trend Following proxy that actually goes back decades. Thirty-eight years of data isn’t exactly blowing my Read more
On Wall Street, no one ever says “okay, enough is enough.” The mentality is always “if a little bit is good then a lot is better. And if a lot is better then way more is great!” Usually, people have to lose a lot of money before this wears off. Read more
Three years ago, I moved into this incredibly well-placed and reasonably priced apartment in Zurich. Then I started this podcast nonsense, which brought a problem along: it made me crave a home office…while I also need a bed. In the physical world, we’re constrained by the floor space. If I Read more
In the world of finance, we are largely taught to worship at the altar of the Law of Large Numbers. The theory is simple: over a long enough time horizon, your investment outcomes will eventually converge toward the historical average. But there’s a problem. You aren’t an “average.” You aren’t Read more
Roger Nusbaum recently published an excellent piece. And, in the spirit of efficient markets, I’ve decided to steal his title as well. While Roger focused on how to size alternative assets, I believe that’s a secondary concern. The data suggests that the most critical decision isn’t the weight: it’s the Read more
Almost two years ago, I wrote about why diversification isn’t a free lunch. Now, I’m watching everyone pile into gold, and I need to say something. Me that four years ago, inspired by PortfolioCharts, wrote this about gold. But that was back then, when nobody cared. Today? Everyone’s buying it. Read more
A very kind reader sent me the link to a paper aimed to show the wonders this portfolio: The portfolio for the apocalypse 😉 Simple and systematic. While there isn’t much to say about the portfolio first two component, I will summary here the tail hedging strategy: systematically purchase 10-delta Read more