I have been fascinated by Risk Parity since the day I read about it. Combining uncorrelated assets, where each contributes in the same way to the portfolio’s overall volatility, is the best way to approach the capital allocator problem, at least to me. Nice theory bruv, how do you implement Read more…
It has been a month or two since I got back the “build and test trading strategies” bug. A bug that my very first, real gig gave me. Thinking about that job now, it was pretty absurd. It was a six months internship for what at the time was a Read more…
The typical dose of daily financial news is something like “Stock XYZ did this today”; if we are lucky, is something more general like “Stocks went up/down” or, more likely these days, “Bonds did this and that”. For the average investor, there is little value in that information. Their holdings Read more…
Last week, the @WifeyAlpha account appeared on my timeline: for once, Twitter algo did the right thing. Not only did Twitter put the account in front of me, it chose one of the best Tweet I read in a long time: 15 tactical asset allocation models? Is it Christmas yet?!? Read more…
Two years ago I wrote this post about weird ETFs I own. Two years already?!? It does not feel it was so long ago…and in fact, I was sure I included an ETF…that I cancelled from my Bloomberg launchpad three days ago and now I cannot find it anymore, great. Read more…
This is my third post about leverage, you can find the first introduction here and a second, practical implementation, here. In particular, I want to comment this recent paper from JPMorgan that I found really interesting (spoiler alert: I agree with them). I will try to ‘translate’ the paper for Read more…