Finance strangely views randomness very differently than other academic fields. In physics, gas molecules behave randomly. They could be moving any direction at any speed. You’re not going to predict them with much accuracy. However, when you group them together and measure the properties of the gas collectively, the behavior doesn’t seem random any longer.…
Portfolio on 1.29.21
Down 0.79% for the last couple days, down two percent for the week. Volatility is not receding. Essentially the portfolio moved further away from stocks since the volatility clearly wasn’t just a one off event on Wednesday. The other assets have perked up a little, but not much. For the third time in the last…
Portfolio on 1.27.21
Last week in the update I pretty much said the market had become boring. Well: Down 1.21% for the last three days. Not boring any longer. If you’re not following the r/wallstreetbets vs. Wall Street battle going on, it’s something else. At this point, I think it’s a lot more complicated than an internet message…
Portfolio on 1.22.21
Up about a percent and a quarter for the week. Finally back to a new weekly high. Still a bit short on the daily high though. I’m exploring setting up a new page on the blog and moving all new strategy updates there. This past year we were blessed (if that’s the correct word) with…
Portfolio on 1.15.21
Looks like I forgot to hit publish on this last week. Down 0.86% for the week. Not the kind of start I was hoping for to the year. I should have kept my mouth shut about approaching a new high a couple weeks ago. This seems to happen a lot and I never learn. The…
Two Sides of the Kelly Criterion
There are two sides to the Kelly Criterion which often get equated as the same, when they really are quite different. Using Cash to Create a “Kelly” Portfolio Traditional Kelly betting is about limiting your exposure to a risky bet. The wager in question is usually a “bet”, in that when you lose, you lose…
Rebalancing Frequency Affects Portfolio Construction
An interesting question which seems unresolved in the investment world: Does investment time horizon affect portfolio construction? If you have longer to invest should you favor riskier assets? This is essentially the time diversification debate, and it’s a complicated one. Too complicated to get deeply into now. But the question of if investment time affects…
Portfolio on 1.8.21
Down about a quarter of a percent for the week. Bond’s and gold volatility certainly spiked. The portfolio didn’t really shift much because of this–a bit less gold, and stocks, an bit more bonds because of decreased correlations. But you can see from the scale falling that the overall market is getting tighter. On January…
2020 Year in Review and Portfolio on 12.31.20
What a year. There were ups, serious downs, and serious ups again. Truly a roller coaster for investors. The kind of year that takes investing strategies, especially those built around numbers, and tears them apart. It’s hard to use the past to prepare for the future, especially when that future has never happened before. So…
Portfolio on 12.24.20
Up just a bit for the week. On December 24th, the strategy rebalanced to: 52% SPY , 32% TLT , 16% GLD