I was going through some old posts and realized something surprising: I’ve never written a dedicated piece on risk parity. I could’ve sworn I covered it at some point—maybe under the All Weather umbrella—but apparently not. Chalk it up to the hazards of writing too much (or having a bad Read more…
In April 2022, I introduced on this blog The Italian Leather Sofa Model Portfolio. As a reminder, here is the portfolio composition: The idea behind the portfolio is stolen from here. The link offers the best explanation to what I think is the most common question related to it, i.e. why Read more…
Man AHL dropped a new paper on regime-based investing (link). Think of it as the overachiever’s version of lazy portfolios. Instead of building a portfolio that’s resilient across economic regimes—like the Permanent Portfolio—this approach tries to front-run reality. If we’re in stagflation, why hold anything but cash? Or managed futures, Read more…
The CFA Institute produced a detailed report on the historical performance of the 60/40 portfolio (here the link). While the breadth of this study is not as ample as other works, think of the UBS Yearbook, I found some interesting graphs…and the hook to write about potential issues in using Read more…
I like David Dredge’s metaphor of a portfolio like a racing car: you do not need to reduce cruise speed when you have brakes. The 60/40 is a car moving always at the same speed, the one that would keep it on the track even on the nastiest turns (what Read more…
Here at The Italian Leather Sofa I run a Model Portfolio, an empirical summary of all the concepts around asset allocation and diversification discussed on the blog. It is a short, and hopefully understandable, recap to the “ok, but how do I apply all the theories I read on the Read more…
“The question of whether, when, and how to hedge foreign exchange risk has been a vexing one for investors since the end of the Bretton Woods system in 1973.” Probably, if you do not live in the US 🙂 Anyhow, we don’t so yes, we care. That’s the incipit of Read more…
In April 2022, I introduced on this blog The Italian Leather Sofa Model Portfolio. As a reminder, here is the portfolio composition: The idea behind the portfolio is stolen from here. The link offers the best explanation to what I think is the most common question related to it, i.e. why Read more…
A common theme in this blog’s last few years has been the search for the perfect retirement portfolio. If you are familiar with the ideal goal, you know the challenges to achieve it: longevity and sequence of returns risks, declining cognitive capacity to manage complex assets, various left-tail events, inflation Read more…
My job in the last 15 (?) years has been in, generally speaking, Corporate Treasury. I contribute to the bottom line of my employer in various way: Even if I want, there is no way I can increase the top line. That’s other departments’ job: create new products, enter new Read more…