Links - Alt Risk

QUOTE OF THE DAY

Even a mediocre plan is better than none. - Ben Carlson

CHART OF THE DAY

 ALTERNATIVE RISK

In Defense of Hedge Funds… C Sizemore.  " let’s not throw out the baby with the bathwater. While many — perhaps most — hedge funds add no real value and certainly don’t justify their fees, there are plenty of hedge funds that absolutely do add value and deserve every last cent. But how do you separate the wheat from the chaff?"  

Can We Shut Up About Those ‘Risky’ Low-Vol ETFs Now? Barrons.  "A market with more big swings ahead looks likelier than one in which a robust economy causes the Fed to raise rates—which bodes well for low-volatility ETFs.”"  

To Win With “Smart Beta“ Ask If the Price Is Right, ResearchAffliates.  "Over the past half-century, almost all of the eight factors and eight smart beta strategies we study exhibit a negative relationship between starting valuation and subsequent five-year performance."  

The Perils Of Naive Portfolio Allocation Schemes,  PriceActionLab.  "Quants and investors should abandon the idea that a good portfolio allocation can be found by [trial]-and-error. Unless there are sound fundamental reasons as to why a portfolio should outperform buy and hold chances are high that in the future it will fail." 

Manage Your Luck, Dorsey Wright.  "Just because a process underperforms for a year it doesn’t mean it is “broken.” /

Soc Gen Report Validates, Explains Managed Futures, TrendPersistence, Valuewalk.com  " By just adding a 20% trend following exposure to a portfolio, the Sharpe ratio of the diversified equity portfolio increased by 40% and drawdowns were reduced by 8%."  

Three factors (the level factor in rates, expectations offuture economic growth, and volatility) explain about 80% of the variation ofreturns in most fixed-income indexes. ETF.com  

When Risk Parity Meets Risk Premia.  CIO  "Factor investing may be better suited to constructing risk parity portfolios rather than replicating hedge funds, according to EDHEC-Risk Institute (ERI)." 

Why I Broke Up With My Low Volatility ETF, FMD Capital.  "It’s almost as if USMV and its peers have turned into more of a momentum and sentiment trade than a true low volatility option."  

Managed Futures Thrives From Brexit, Attain Capital.  "They did it by being boring, mostly…"  

Smart(er) Beta? Part 1 of a Series on Multifactor Smart BetaETFs,  http://markovprocesses.com/