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Found some further data on IG corporates (Jan 1983 - Dec 2016) https://www.portfoliovisualizer.com/efficient-frontier 1987-2016 with Total Bond Market (I assume its an index like AGG) and long-term corporates The huge Sharpe ratio (specially compared to Treasury bonds) and limited...

US investors have such an advantage over other folks around the world because: -They got financial books teaching all kinds of investment strategies like CAPE based investing, value investing, indexation, diversification, global asset allocation etc -They got financial tools like ETFs (plus...

Brazil's stock market returned 39% last year in BRL terms but one of the duration sensitive bond indices returned 31%. So it didnt trail it by all that much. Another ones produced from 21 to 25%. Cash returned 14%. Inflation was ~6.25%. My minimax portfolio probably would have beaten cash by a...

These BRL bond indices are tough to beat (even though they dont have any corporate bonds in them) because they have some high duration bonds in them. Duration is a new thing to the country and its a 'risk asset'. As a result,it tends to move with the stock market. Its a backdoor way to 'invest'...

This is why I like those Brazil USD bonds. They are yielding around 5% with resonable maturities (8-10 years). That's almost double the 'required return' derived from my minimax regret holy grail and I think they are pretty safe, plus they also have an inflation protection component in them as...

I got a position in GLD that uses a fair amount of cash, I'm considering switching from GLD to GLD futures (Single Stock futures) and buying something else with that cash. Potentially a IG corporate ETF or a generic bond ETF with low duration. I just need to see how tight is the spread for...

So, at least with the current signaling from the Fed, it does not appear one has to be worried about the central bank killing off asset markets. The Fed is talking about a long-term fed funds rate of 3%(from the current 0.66%), and it will take years to get there. So presumably with assets...

The 85% IG corporates or AGG ETF with 15% in gold is interesting because this could be a good 'benchmark' or at the very least the "cost of capital" for any new investment. You always got to measure things against that and only take on an investment if it promises to return more than that. IG...

I guess what I'm raising here is the possibility that the ZeroHedge's of the world would be better off following the minimax regret type portfolio (IG corporates or Bond indices) instead of going to cash or bills. Its okay to be defensive and afraid, what is not ok is to not be dumb about it...

I think diversified bond ETFs in general are pretty awesome. The Barclays aggregate index (ETF AGG) seems to be returning something like mid to high single digits with occasional mid single digit (typically -5%) max drawdowns for quite a while. This has been a benign period for bonds and...

What is nice about IG corp bonds is that it seems to be a hybrid between stocks + gov bonds at the right balance. If you need to teach someone that 30% in stocks with 40-50% in bonds is a good allocation, that might be too complex. You put in rebalancing in it and you are talking Greek to them...

The key when applying leverage like this, I think, its not to increase risk of ruin but simply risk that you will have a bigger drawdown than expected in case it turns out the hedges didn't work as well. Thats what robust optimization is all about. So you dont leverage 200%, if your portfolio...

That's where all the work in building a low risk portfolio pays off. You put hedges in place (or a basket of hedges), you assign appropriate allocations to each investment class, you diversify among pools of beta/alpha assets. You do https://en.wikipedia.org/wiki/Robust_optimization All of that...

Of course, if one is allowed to add another asset class then building a holy grail to recommend to someone becomes easier. It would probably be 85% in IG bonds and 15% in Gold. Give or take 5%. That would fix the inflationary weakness in IG bonds and further boost the Sharpe/Sortino of the...

But there are broader implications as well. Hedge funds have access to some really cool products, they can sell credit default swaps on IG grade bond indices. So this creates the possibility of using derivatives to increase leverage. A cool portfolio booster could be to be invested 115% in a...

I was reading about some game theory concepts like Maximax, Maximin and Minimax regret https://cs.stanford.edu/people/eroberts/courses/soco/projects/1998-99/game-theory/Minimax.html https://en.wikipedia.org/wiki/Regret_(decision_theory)#Minimax_regret And that got me thinking about using this...

If you look at EWZ from 2003 to 2008, that thing went up like 10 fold, yet, it wasn't a Druckenmiller type trade that one can leverage up huge and produce outstanding years. There were some NASTY sell-offs along the way. If you are long 100%+, its hard to stomatch losing 30-50% of your money in...

Soros seems to follow an approach of owining positive earning assets with long-term thesis like specific stocks, some gold and I would imagine some fixed income as well (I recall they were invested in Bill Gross new bond fund but then they pulled out). Soros also puts money in some hedge funds...

One of the reasons I'm allocating so little risk to shorting/discretionary macro trades is because I'm not finding this enviroment very good for macro. At least not in the US. If you look last year there were maybe 3 good 'macro trades'. Short ES in the first few months and short bonds and gold...

Yes its possible that he got involved emotionally/politically. He is also old and that could be coming out of his performance. But its hard to say, he does have that dynamic risk budget and is said not to fall in love with positions. Also, IIRC, his risk on the GBP trade was something like 10%...