Previous: Episode 4 Addendum – The Unwritten SequenceNext: Series Synopsis Diversification does not cure fat tails. The controlled experiment, the prescription, and five failed hypotheses. The Evidence Base: Over 640,000 daily observations across 68 global futures markets, spanning more than...
Previous: Episode 4 – Risk Is Not VarianceNext: Episode 5 – What Works And What We Got Wrong Why identical returns produce different investors Three interactive experiments on one objection to Episode 4, and what answering it costs. Episode 4...
Previous: Episode 3 – Six Ways the Assumption BreaksNext: Episode 4 Addendum – The Unwritten Sequence Shuffle forty years of returns like a deck of cards. Every statistic stays identical. The worst loss moves 50 points. The Evidence Base: Over...
“The trend that breaks a portfolio in one month is often the one that pays it in the next; the reversal and the opportunity are the same event seen at two scales.” Fractals of Finance About This Report The ATS...
“The Board Reversed, and the Barometer Fell 22 Points Out of Neutral“ Trend Following Weekly Report Almost exactly as many markets rose this week as rose last week. They were largely the opposite markets. Energy went from leading the board...
Listen to the full episode here: Why the Best Portfolios Are Built to Be Wrong: https://www.toptradersunplugged.com/podcast/why-the-best-portfolios-are-built-to-be-wrong-ft-david-dredge-richard-brennan/ I have just spent two hours with Dave Dredge and Niels Kaastrup-Larsen, and I am still thinking about it. Here is the odd thing...
Previous: Episode 2 – The Two-Cent DollarNext: Episode 4 – Risk Is Not Variance A safety limit breached twice as often as promised. A quiet bond market that authorised sixteen times leverage. The Evidence Base: Over 640,000 daily observations across...
Previous: Episode 1. The Tyranny of the SquareNext: Episode 3. Six Ways the Assumption Breaks 4.6% of trades make all the money. Here is what the industry scoreboard pays a manager for catching one. The Evidence Base: Over 640,000 daily...
Next: Episode 2. The Two-Cent Dollar Modern finance measures risk by squaring. Across 68 futures markets and 42 years, here is what that square hides. The Evidence Base: Over 640,000 daily observations across 68 global futures markets, spanning more than...
“Crude Extends Its Breakout as Trend Followers Are Paid in a Neutral Environment“ Trend Following Weekly Report The question this column left open a week ago has an answer. Energy held its breakout and led the board again, up 3.51...
