Apr 23, 2022

Portfolio Longevity Strawman with a Trend-Following-Like Inflection

 

Summary stats might mislead given the defective distribution so I just dropped the image. The finite P mode bumps out a bit but not much but the whole thing does shift right a little bit. This is why I fold some trend-following into my Portfolio. In theory -- tho no guarantees -- the payoff structure can hedge portfolio vol a bit and goose portfolio longevity as a result. Here I am merely asserting a vol reduction rather than simulating something more complex. Note that more pink portfolios will tip over to infinite (using 100 as a proxy here) but are not shown due to the cropping.

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