Journal to portfolio afterlife

[black-opal]

I mercati emergenti hanno iniziato la fase di taglio dei tassi, al contrario dei paesi sviluppati. Ma non è importante solo il numero ma anche l'entità dei rialzi o dei tagli, perchè un rialzo o taglio di 0,25% è diverso da 0,75%.

https://twitter.com/x/status/1700240846136742176

 

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Potevano essere generosi ed arrotondare la sentenza a 11 mila anni di carcere

https://twitter.com/x/status/1700268596931256393

 

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E' quello che cerco di fare nel mio piccolo, quando costruisco il portafoglio mi pongo due obbiettivi generali:
- coprire più potenziali scenari futuri
- l'amalgama è più importanti delle singole parti

Fun with Funds -

It is almost the two-year anniversary of this post I wrote about the role of gold in a portfolio. A few days ago, someone re-posted on Twitter the research piece that prompted me to write my post (well, half of it) and I enjoyed it like it was the first time (did I even tell

theitalianleathersofa.com

 

[black-opal]

I had the great Nick Maggiulli create a chart that shows how all the stocks in the S&P 500 are performing within each sector. Consumer cyclical are all over the place. So are technology stocks. Healthcare too. This makes sense as these sectors comprise very disparate companies. On the flip side, it also makes sense that energy stocks tend to trade as a group, given how tied they are to the underlying commodities.

Stock Market Winners and Losers - The Irrelevant Investor

The market is separating the wheat from the chaff

theirrelevantinvestor.com

 

[black-opal]

Ci sono diverse forme di intelligenza.

I’d define intelligence vs. smart like this: Intelligent people understand technical details, smart people understand emotional details.

The most important decision most people will ever make is whether, when, and whom to marry. But that’s never taught in schools – how could it be? You can’t distill it down to a formula, or a one-size-fits-all answer. It’s a decision that requires lots of smarts and very little intelligence.

Henry Ford said, “If there is any one secret of success it lies in the ability to get the other person’s point of view and see things from their angle as well as your own.”
The purely intelligent person will find this hard to grasp, because if you think there is one right answer to every problem, you insist on banging through more debate until the other side agrees with you.

There are two reasons to be kind to everyone. One is moral, the other is selfish. Morally, you should do it because you’re empathetic. Selfishly, you should do it because it’s easy to underestimate how many people you may eventually rely on to help you, and you’ll only gain their cooperation if you remain in their good graces.

Intelligent vs. Smart

Here’s an important distinction to make in life.

collabfund.com

 

[black-opal]

Ultimately, when you build a portfolio of financial assets, or even strategies, you’re expressing a view as to the risks you’re willing to bear.

The philosophy of “no pain, no premium” is just a reminder that over the long run, we get paid to bear risk.

Modern finance is largely based upon the principal that the more risk you take, the higher your expected reward.

If you have a portfolio and can introduce a novel source of diversifying beta, it’s not only likely to be cheaper than any alpha you can access, but you can probably ascribe a much higher degree of confidence to its risk premium.

For most portfolios, beta will drive the majority of returns over the long run. As such, it will be far more fruitful to first exhaust sources of beta before searching for novel sources of alpha.

Ultimately, I developed my view that diversification was three dimensional: what, how, and when.
What is the traditional diversification almost everyone is certainly familiar with. This is the diversification across securities or assets. It’s the what you’re invested in.
How is the process by which investment decisions are made. This includes diversification across different investment styles – such as value versus momentum – but also within a style. For example, how are we measuring value? Or what trend model and speed are we using?
When is the rebalance schedule.
Just as traditional portfolio theory tells us that we should diversify what we invest in because we are not compensated for bearing idiosyncratic risk, I believe the same is true across the how and when axes.

Similarly, if you’re building a portfolio, you need to take some risk. Whether that risk is some economic risk or process risk or path dependency risk, it doesn’t matter – it should be there, lurking in the background.
If you want a portfolio that has absolutely no scenario risk, you’re basically asking for a true arbitrage or an expensive way of replicating the risk-free rate.

Which means that for any disciplined investment approach to outperform over the long run, it must experience periods of underperformance in the short run.
But we can also invert the statement and say that for any disciplined investment approach to underperform over the long run, it must experience periods of outperformance in the short run.

Market timing is probably finance’s most alluring siren’s song.

In almost all cases, it’s a lot easier to find something that can diversify your returns than it is to increase your accuracy in forecasting returns.
As a corollary to this lesson, I’ll add that the more predictable a thing is, the less you should be able to profit from it.

If markets are even reasonably efficient, the more easily predictable the thing, the less I should be able to profit from it.

I recently stole this one from Cliff Asness. This point has less to do with any practical portfolio construction thoughts or useful mental models. It’s just simply acknowledging that managing money in real life is very, very, very different than managing money in a research environment.

And our industry, as a whole, has every right to be skeptical about backtests. Just about every seasoned quant can tell you a story about naively running backtests in their youth, overfitting and overoptimizing in desperate search of the holy grail strategy.

But we should acknowledge that when we run a single backtest, it’s just a single draw of a larger stochastic process. Historical prices and data are, after all, just a record of what happened, but not a full picture of what could have happened.

This final lesson is about a mental switch for me. Instead of seeing something and immediately saying, “the market is wrong,” I begin with the assumption that the market is right and I’m the one who is missing something.

15 Ideas, Frameworks, and Lessons from 15 Years - Flirting with Models

Today, August 28th, 2023, my company Newfound Research turns 15. It feels kind of absurd saying that. I know I’ve told this story before, but I never actually expected this company to turn into anything. I started the company while I was still in undergrad and I named it Newfound Research...

blog.thinknewfound.com

 

[black-opal]

Dopo aver finito le pale ora non restano che le dita. Il "giornalismo" mainstream sta diventando veramente imbarazzante.

L'intelligence di Kiev: «Mosca è a corto di munizioni. I soldati usano le pale come armi»

E non pale qualsiasi: pare si tratti di un modello specifico che risale al 1869

www.open.online

«Non abbiamo munizioni, dobbiamo usare le dita come baionette?»: le intercettazioni dei soldati russi al fronte

Il punto militare 567 | Le 17 conversazioni registrare sul fronte orientale e meridionale nella prima metà di luglio e diffuse dallo Sbu confermano i problemi annotati dagli osservatori, indicano uno stato d’animo che non ha portato tuttavia ad alcun cedimento

www.corriere.it

 

[black-opal]

Lo scorso anno, nel cuore della crisi energetica dovuta al taglio delle relazioni con la Russia, la Francia si è trovata in grave difficoltà perché quasi il 60% dei suoi reattori nucleari si trovava fuori servizio per manutenzioni programmate e di emergenza.

Al giovedì, l’EDF aveva 39 reattori online, 12 in più rispetto allo stesso periodo dell’anno scorso. Altri dieci dovrebbero tornare online nelle prime due settimane di settembre, anche se ciò sarà in parte compensato dalle interruzioni pianificate per la manutenzione di altri impianti.

Il nucleare francese salverà il prossimo inveerno europeo?

Lo scorso anno, nel cuore della crisi energetica dovuta al taglio delle relazioni con la Russia, la Francia si è trovata in grave difficoltà perché quasi il 60% dei suoi reattori nucleari si trovava fuori servizio per manutenzioni programmate e di emergenza. Quest’anno, milioni di consumatori e...

scenarieconomici.it

 

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A new economic outlook revealed that Russia expects to sell gas to China at a steeply discounted rate over the next three years, far below the price European buyers will pay, according to a Bloomberg report.

Russia will sell natural gas to China at almost a 50% discount compared to European buyers

Russia and China's economic ties appear to be deepening still, with Moscow expecting to give a steep markdown to Beijing on pipeline natural gas.

www.businessinsider.in

 

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https://twitter.com/x/status/1700651279843008825