The model portfolio doesn't split up the exposure to equity indexes vs. volatility etc. It also doesn't show total stock market beta exposure.
I think trend following is serious as an uncorrelated diversifier with positive expected returns - I recommend reading the AQR paper and other papers on it.
I'm not sure if volatility (implemented with an option writing overlay) has any substance (meaning either non-[tail]-risk-based and/or risk uncorrelated to equity market deep drawdown risk). Likewise "carry" exposure that is being discussed elsewhere, and probably embedded in some of the components of the model portfolio.
I'm not sure what the potential alpha in the bond strategies entails.
I'm also not sure about long-short and "alternatives".
I think trend following is serious as an uncorrelated diversifier with positive expected returns - I recommend reading the AQR paper and other papers on it.
I'm not sure if volatility (implemented with an option writing overlay) has any substance (meaning either non-[tail]-risk-based and/or risk uncorrelated to equity market deep drawdown risk). Likewise "carry" exposure that is being discussed elsewhere, and probably embedded in some of the components of the model portfolio.
I'm not sure what the potential alpha in the bond strategies entails.
I'm also not sure about long-short and "alternatives".
Statistics: Posted by comeinvest — Mon Jul 29, 2024 2:23 am