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Those are good stories of taking advantage of free or cheap optionality. Maybe I wasn't clear enough in the OP. I'm more interested in discussing applications of this strategy as far as investing/wealth preservation goes. Like dicussing what constitutes 'boring inflation protected cash'...

The fact that correlations go to 1 during crisis, I believe, is one of the last things people need to be concerned about. These '1 correlation' periods reflect short-term liquidity problems and last very little time. Historically they are like less than 1% of the sample. More importantly, they...

What are everyone's thoughts on practical applications of Taleb's barbell strategy? I added some emphasis because people don't pay enough attention to detail, which is important when dealing with Taleb

Now, that said, I do see the point of trying some short trades during this Trump rally. Inaguration might start a profit taking period and Trump will say some crazy things once he gets there. Today stocks are gaping down and so I will be involved on the short side, just in case things tank in...

The US CAPE ratio (Shiller PE) overstates a lot of the valuation in US equities because it includes the financial crisis (with huge accounting losses by AIG and other firms that distort the data as Jeremy Siegel shows) and then a period of low 2% growth where profit growth wasn't as good as it...

As it turns out that market was correct about Secular Stagnation potentially being temporary. Now you have an administration that will all that it can to reverse it. If whatever plans they try, don't work, they will try other things. Trump run on helping out the average american, getting that...

Some rough calculations that I did after the US election showed that a 0.125% improvement in real growth was worth a little over 150 ES points to the market. I'm referring to long-term growth here, not little pops in GDP. Since the 2008 crisis the US seems to have been trapped a 2% growth...

I was reading about that 1970s UK fiscal crisis https://en.wikipedia.org/wiki/1976_IMF_Crisis This was an interesting crisis because even though, Jim Rogers says, that long-term UK bonds fell 70% and they lost market access to long-term duration bonds, the UK didnt default on these bonds. I...

There is a site that lets you backtest some portfolios with more recent data. https://www.portfoliovisualizer.com/ They even got a lot more asset classes I encourage you to run some tests and report results. It might help with putting different perspectives in portfolio development

Cortesy of Eurokopek, the duration ratio of the 30y vs 10y. Seems to match some calcs I run on annual return data This thing might go up or down depending on where yields go and how the market perceives risks. But using a 2-1 ratio (to build my modified optimal portfolio) as a rule of thumb...

I'm sorta going to do that if/when I run these tests on UK and Brazil data. With UK, if I find the data, its going to be meaningful because its going to be almost 100 years worth of data but with other problems in it (different from the US). But I will add some international diversification (A...

Hi tks for the chart. can you tell what you mean by this? I haven't changed 30 to 10?

Have you plugged historical data in to see how that evolved? I found some data here https://www.portfoliovisualizer.com/backtest-asset-class-allocation#analysisResults It didn't had yields but annual returns. Looking at the ratio between long-term treasury % changes and 10y treasury % changes...

So interestingly enough, I was worried about how uncertainty/extremistan type dynamics would call for lowering the exposure one has to equities given that it is a very vulnerable asset class to new unknown dynamics. But it appears that I dont have to be that concerned. It appears that gold is...

In terms of overall portolio construction, what I learned is that: -Most new asset classes diversification/rebalancing/All weather benefits seem to drop off at around 10-20% allocations. Stocks are high return high risk. Gold is low return medium risk. T-Bills are low return, low risk. Yet in...

Anyone has data on that? If there is a chart somewhere of how that relatioship has changed I would appreciate it

The risks to such allocation are the US risks that folks like Jim Rogers have been talking about for a long time. In Market Wizards he talks about the UK experience where they ceased to have a long-term bond market and, IIRC, their long-term bonds fell 70%. Now, that portfolio is VERY...

So these are the formulas I was able to come up with using 1926-2016 monthly data Optimal portfolio: For the US: 3.5 units of 10y bonds 1 unit of stocks 0.5 unit of gold With 2-1 30y to 10y bond duration difference 46% 30y Bonds 26% stocks 15% intermediate bonds 13% gold How to convert...

Thats what the pundits missed when the Tony Robbins book came out and they were puzzled by the amount of 30y bonds Dalio recommended. The 'free leverage' that one gets from 30y bonds enables one to buy more stocks and bonds (after all, if you made an equivalent portfolio and now you have all the...

But I agree with Dalio, the key is to have that 15% in intermediate (or 10% or 20%). That way the portfolio has SOME way of adjusting to a rising rate enviroment and the bond portfolio is more robust to different 'weather' conditions