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Adding More Bets (EP.07)
Manage episode 287177026 series 2508179
内容由ReSolve Asset Management提供。所有播客内容(包括剧集、图形和播客描述)均由 ReSolve Asset Management 或其播客平台合作伙伴直接上传和提供。如果您认为有人在未经您许可的情况下使用您的受版权保护的作品,您可以按照此处概述的流程进行操作https://zh.player.fm/legal。
What additional Sleeves can we add to maximize diversity?
We discuss:
- Style premia, factors, smart beta – the benefits and risks
- Efficient negative Sharpe ratios
- Redemptions and “noise traders”
- Larry Swedroe and anomalies
- Value characteristics and correlations
- Flows and Arbitrage opportunities
Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.
22集单集
Manage episode 287177026 series 2508179
内容由ReSolve Asset Management提供。所有播客内容(包括剧集、图形和播客描述)均由 ReSolve Asset Management 或其播客平台合作伙伴直接上传和提供。如果您认为有人在未经您许可的情况下使用您的受版权保护的作品,您可以按照此处概述的流程进行操作https://zh.player.fm/legal。
What additional Sleeves can we add to maximize diversity?
We discuss:
- Style premia, factors, smart beta – the benefits and risks
- Efficient negative Sharpe ratios
- Redemptions and “noise traders”
- Larry Swedroe and anomalies
- Value characteristics and correlations
- Flows and Arbitrage opportunities
Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.
22集单集
所有剧集
×How we can prepare for every investment scenario. We discuss: Risk Parity and Futures Markets Leverage and Value Diversification Outsourcing Expertise Integrating Asset Classes to Maximize Returns Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.
How can we manage for scenarios when Liquidity evaporates? We discuss: 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 and Inflation Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.…
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ReSolve's Masterclass

How can we move from Factor Beta to Alpha? We discuss: 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 Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.…
What additional Sleeves can we add to maximize diversity? We discuss: Style premia, factors, smart beta – the benefits and risks Efficient negative Sharpe ratios Redemptions and “noise traders” Larry Swedroe and anomalies Value characteristics and correlations Flows and Arbitrage opportunities Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.…
How do we eat Sharpe ratio and meet financial goals with a maximally diversified portfolio? We discuss: Using leverage in a robust and diversified portfolio to preserve diversification while achieving target returns Why “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 Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.…
Traditional yields are low, so how do we meet our funding obligations? We discuss: Rebalancing highly diversified portfolios to generate 3%-5% in excess returns The Diversification Ratio and maximally diversified portfolios The increased value of maximally diversified commodity sleeves Special advantages for non-institutional investors Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.…
Diversity of investments only produces “diversification” if asset classes are held in proper balance. We discuss: The 60/40 portfolio and why it’s not diversified or risk-balanced The advantages of Global Risk Parity Portfolios How leverage helps to preserve diversification Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.…
Investors are often prone to “home-country” equity bias and other heuristics that leave them under-exposed to the world’s many diverse opportunities. We discuss: The importance of global asset class diversity Ray Dalio and the “All Weather Portfolio” Making portfolios resistant to inflation and growth shocks Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.…
Philip Tetlock’s research on the qualities of Super-forecasters explains why forecasting is hard and how diverse models and systematic thinking can help close the gap. We discuss: Improving predictions by regularly updating data The Brier Score and why it really matters Why larger samples permit more accurate short term predictions The difficulties with the “Long Now” narrative Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.…
Anyone who is responsible for stewarding wealth, from a high net worth person, to a family office, to an investment firm, to a pension plan. We discuss: Long term preservation of wealth for 30, 50, 100 years Building an investment “house” to weather all storms The difference between earning wealth and protecting it long term Clearing the “high confidence” bar Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.…
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ReSolve's Masterclass

The team has spent the last 11 episodes discussing the importance of asset allocation; the role of systematic “factor” tilts like momentum, value and trend; and how portfolio optimization can act as a force multiplier on long-term performance. This episode comes full circle by integrating all of the concepts described thus far: Asset Allocation, Risk Balance, Ensemble Methods, Portfolio Optimization and Factor investing, using multi-asset momentum as a case study for this integration. The team also discusses the importance of process diversification in terms of how to select an optimal multi-asset investment universe; diverse measures of momentum; different methods of portfolio optimization; and holding period diversification. A fitting conclusion to the 12 Days of Wisdom series, this is one that listeners will not want to miss! Whitepaper: http://www.investresolve.com/adaptive-asset-allocation/ Articles: https://investresolve.com/blog/dynamic-asset-allocation-for-practitioners-part-1-universe-selection/ https://investresolve.com/blog/dynamic-asset-allocation-for-practitioners-part-2-the-many-faces-of-price-momentum/ https://investresolve.com/blog/dynamic-asset-allocation-for-practitioners-part-3-risk-adjusted-momentum/ https://investresolve.com/blog/dynamic-asset-allocation-for-practitioners-part-4-momentum-weighting/ https://investresolve.com/blog/same-same-but-different/ https://investresolve.com/blog/dynamic-asset-allocation-for-practitioners-part-2-the-many-faces-of-price-momentum/ https://investresolve.com/blog/dynamic-asset-allocation-for-practitioners-part-3-risk-adjusted-momentum/ https://investresolve.com/blog/dynamic-asset-allocation-for-practitioners-part-4-momentum-weighting/ https://investresolve.com/blog/same-same-but-different/…
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ReSolve's Masterclass

1 Day 11 – How to Juice as Much Value as Possible from Trend Following - The Cheapest Factor Out There Today 20:22
In our second-to-last episode, ReSolve’s newest partner Jason Russell is joining us to share his wisdom on one of the most misunderstood strategies out there. While many investors are aware of the solid returns a simple trend following approach can produce, it is the ability to select from a wide universe of uncorrelated asset-classes (especially currencies and commodities) and to use multiple signals that offer the greatest benefits. These ensemble methods truly maximize the ability to harvest the trend (and any other) premium and add a significant Sharpe ‘bonus’ to portfolios. Reference: https://investresolve.com/blog/diversification-what-most-novice-investors-miss-about-trend-following/…
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ReSolve's Masterclass

1 Day 10: How Thoughtful Portfolio Optimization Techniques can be a Total Game Changer for Portfolio Results 33:29
The Lords of finance have somehow convinced investors that “simple” always beats “complex” in markets. But this is rubbish. The fact is that every portfolio formation – even the so-called ‘passive portfolio’ - expresses very active beliefs about how markets function, and the relationships between risk and return. It’s critical to understand these relationships in order to choose the optimal method of portfolio construction. Many common techniques such as market cap and equal weighting are profoundly sub-optimal in practice! In this episode, we discuss ReSolve’s portfolio optimization article series and describe why appropriate portfolio optimization can act as a powerful force-multiplier on long-term performance. Whitepaper: https://investresolve.com/portfolio-optimization-general-framework-lp/ Articles: https://investresolve.com/blog/portfolio-optimization-simple-optimal-methods/ https://investresolve.com/blog/portfolio-optimization-case-study-managed-futures/…
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ReSolve's Masterclass

1 Day 9 – What It Means to be a True Systematic Manager and How to Spot the Lemons in your Lineup 30:33
So far, we have been discussing a variety of ways to build portfolios and harvest returns, but we haven’t really addressed a fundamental aspect of how we think about portfolio construction. Even though most of us like to think that we will rise to the occasion in the face of a challenge, the reality is that we will most likely sink to the level of our training during those difficult times. In the world of investing, that ‘training’ can be thought of as establishing sound, economically viable and time-tested rules when things are calm (and emotions are in check) and executing them relentlessly through thick and thin. On this 9th day, we get down to what it really means to be a systematic investor. Reference: https://investresolve.com/blog/dynamic-asset-allocation-for-practitioners-part-2-the-many-faces-of-price-momentum/ https://investresolve.com/blog/same-same-but-different/…
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ReSolve's Masterclass

1 Day 8 –Why Financial Professionals and their Clients Need to Get Comfortable with Being Uncomfortable in the Coming Decade 21:16
Some of the ideas discussed in the last few episodes may raise a few eye-brows, as they force advisors and investors to venture outside of their comfort zones. But consider the alternative. At current valuation levels, US equities and bonds are unlikely to deliver meaningful (or even positive) returns in the coming years. What do we propose? Go global and let go of home-country bias. Diversify across asset-classes, factors and strategies. Embrace tracking-error. The key message on this 8th day is: get comfortable with being uncomfortable. Reference: https://investresolve.com/blog/get-comfortable-with-being-uncomfortable-part-1-valuations/ https://investresolve.com/blog/get-comfortable-uncomfortable-part-2-maximum-diversification/ https://investresolve.com/blog/get-comfortable-with-being-uncomfortable-factor-investing/…
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