Publications by R on OSM
Rebalancing! Really?
In our last post, we introduced benchmarking as a way to analyze our hero’s investment results apart from comparing it to alternate weightings or Sharpe ratios. In this case, the benchmark was meant to capture the returns available to a global aggregate of investable risk assets. If you could own almost every stock and bond globally and in the ...
9078 sym R (7354 sym/1 pcs) 6 tbl
Rebalancing! Really?
In our last post, we introduced benchmarking as a way to analyze our hero’s investment results apart from comparing it to alternate weightings or Sharpe ratios. In this case, the benchmark was meant to capture the returns available to a global aggregate of investable risk assets. If you could own almost every stock and bond globally and in the ...
9078 sym R (7354 sym/1 pcs) 6 tbl
Drawdowns by the data
We’re taking a break from our series on portfolio construction for two reasons: life and the recent market sell-off. Life got in the way of focusing on the next couple of posts on rebalancing. And given the market sell-off we were too busy gamma hedging our convexity exposure, looking for cheap tail risk plays, and trying to figure out when we ...
7640 sym R (11621 sym/1 pcs) 12 img 5 tbl
Drawdowns by the data
We’re taking a break from our series on portfolio construction for two reasons: life and the recent market sell-off. Life got in the way of focusing on the next couple of posts on rebalancing. And given the market sell-off we were too busy gamma hedging our convexity exposure, looking for cheap tail risk plays, and trying to figure out when we ...
7640 sym R (11621 sym/1 pcs) 12 img 5 tbl
Rebalancing ruminations
Back in the rebalancing saddle! In our last post on rebalancing, we analyzed whether rebalancing over different periods would have any effect on mean or risk-adjusted returns for our three (equal, naive, and risky) portfolios. We found little evidence that returns were much different whether we rebalanced monthly, quarterly, yearly, or not at all...
10841 sym R (7015 sym/1 pcs) 6 img 6 tbl
Rebalancing ruminations
Back in the rebalancing saddle! In our last post on rebalancing, we analyzed whether rebalancing over different periods would have any effect on mean or risk-adjusted returns for our three (equal, naive, and risky) portfolios. We found little evidence that returns were much different whether we rebalanced monthly, quarterly, yearly, or not at all...
10841 sym R (7015 sym/1 pcs) 6 img 6 tbl
Rebalancing history
Our last post on rebalancing struck an equivocal note. We ran a thousand simulations using historical averages across different rebalancing regimes to test whether rebalancing produced better absolute or risk-adjusted returns. The results suggested it did not. But we noted many problems with the tests—namely, unrealistic return distributions an...
8999 sym R (11662 sym/1 pcs) 10 img 6 tbl
Rebalancing history
Our last post on rebalancing struck an equivocal note. We ran a thousand simulations using historical averages across different rebalancing regimes to test whether rebalancing produced better absolute or risk-adjusted returns. The results suggested it did not. But we noted many problems with the tests—namely, unrealistic return distributions an...
8999 sym R (11662 sym/1 pcs) 10 img 6 tbl
Mean expectations
We’re taking a break from our extended analysis of rebalancing to get back to the other salient parts of portfolio construction. We haven’t given up on the deep dive into the merits or drawbacks of rebalancing, but we feel we need to move the discussion along to keep the momentum. This should ultimately tie back to rebalancing, but from a dif...
9868 sym R (6085 sym/1 pcs) 10 img 2 tbl
Mean expectations
We’re taking a break from our extended analysis of rebalancing to get back to the other salient parts of portfolio construction. We haven’t given up on the deep dive into the merits or drawbacks of rebalancing, but we feel we need to move the discussion along to keep the momentum. This should ultimately tie back to rebalancing, but from a dif...
9868 sym R (6085 sym/1 pcs) 10 img 2 tbl