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If I weight by Standard deviation and Standard deviation of Negative Returns then my optimal portfolio is: Stocks are 2.7 times more volatile (SD) than 10y bonds and 1.07 times the vol of gold. If one were to build a only stock and bond mix, it would be 73% bonds, 27% stocks. To get the gold...

In line with this idea I run into a paper from Robert Merton http://www.people.hbs.edu/rmerton/onestimatingtheexpectedreturn.pdf Its quite relevant to the portfolio research I'm doing. Merton shows that estimating returns so one knows what is the 'risk reward ratio' of a portfolio is quite...

If you don't know the answer to the questions about I posed about the strategy then please leave the thread. Someone else might know and everyone wont have to spent time reading about how it is all useless and anecdotal stories from 1971

I never have been a big fan of Monish Pabrai but its interesting what he says on this video He talks about how he used to run his funds by having a "10 by 10" portfolio. If he found a stock he liked, he would put 10% in there. Overtime, as he made mistakes, he changed his approach. Now he has...

But on the other hand, if the market is saying there are some risks, and on average it will underprice risk, perhaps its now when the tail risks are present and should be bet on. That's the tough thing about OTM put buying and other forms of tail betting. A lot of the huge profits come in...

http://www.zerohedge.com/news/2017-01-23/options-traders-are-pricing-3rd-highest-chance-black-swan-crash-history Right now seems to be a expensive time to do this short of tail hedging So perhaps one would apply a "contrarian" approach to OTM put buying? Buy when they don't want them...

Brazilian stocks made a 5 year high today. CAPE still quite low and rates are going to be cut more what the market thinks. I'm still not selling any shares

And you know all his money is with Spitznagel how? I doubt it is all with him and I doubt it is/was in T-bills either

Does this man sound like he was long T-Bills with 90% of his networth? He talks about how he left Lebanon and when the currency went from 2 to the dollar to 1500 or some such. In US, because of Bernanke, he was feeling there was that risk again. Whatever he was doing pre-crisis is not likely...

One issue with the Spitznagel backtest is that almost surely the strategy was a net money loser overall (as opposed to US bonds and gold where it produced a profit). So while buying OTM puts produces the best 'hedge effect', it comes with a cost. Most of the data that I have seen shows that...

I plan to do some more research on this topic and try to think of a smart way to implement it so I can add to my basket approach. Its tough because ever since I cut down my daytrading hours I have been researching more but I keep finding more and more topics to research. I got to: -Read dozens...

http://www.barrons.com/articles/whats-the-best-safe-haven-for-investors-1474651788 A potential addition to my 'Volatility hedge' basket. Although there are some questions about what is the proper way to implement such strategy (not sure the way Spitznagel suggests is the best one). It's also...

So 90% in stocks and the last 10% in speculative options and futures positions? That doesn't sound like a Barbell to me

Very tough to backtest this Greek debt market. I just noticed that the Central Bank data might be busted and might not be reliable. There are some years where bond prices go up and yet yields also go up (specially early in the sample). I think they were finding the closest bond to a 10y maturity...

Does this Damodaran formula stops working when there is huge volatility? I'm referring to using it in the way he intended (yearly data). I'm finding a significant discrepancy between his formula and a simple bond price delta change + coupon interest = total annual bond return

For the 30y im finding that in year end 2011 the 30y was at 32.45 (par 100) 14.85% yield at 2012 end it was at 32.92 (par 100) 11.18% yield The yield at march 2012 end on that bond was 16.26. The mix of bonds discounted at 16%, according to the paper was worth 22c of face value. That returned...

Here is some of my data source http://www.bankofgreece.gr/Pages/en/Statistics/rates_markets/titloieldimosiou/titloieldimosiou.aspx?Year=2012 If anyone notices a flaw, let me know

Butter, I think I found a methodology that can tell me what is the 2012 total return for a Greek bond holder. According to the Central bank at year 2011, the 10y was at 43.94 (100 par) with a 21.14% yield to maturity At 2012 year end, the 10y was at : 43.62 (100 par) 13.33% yield to maturity...

"What explains the large variation in haircuts across bondholders? According to individuals close to the exchange, one motivation for the one-size-fits all approach was to keep it simple in order to get the deal done before March 20, 2012 when the next very large bond was coming due (€14.4...