Category: Risk On/Risk Off
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A reader asks: Can a risk parity portfolio have short positions?
Many of this site’s visitors are interested in learning about risk parity, especially how to obtain risk parity weights using Excel. The PortfolioWizards Risk Parity Excel workbook is easily the most popular download on the site. Recently a hedge fund manager contacted me who had been playing with the risk parity workbook. He asked whether…
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What a Difference a Day Makes (or, “Fooled by Look-Ahead Bias”)
This year I’ve written a few times about using the 200-day Moving Average (200MA) as a market timing indicator. Evolved Perspective on the 200-Day Moving Average Since my last posts my appreciation for and complaints about 200MA have evolved. I previously wrote that if enough speculators begin blindly following the 200MA it could lead…
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Instead of Seeking Alpha, Try Managing Sigma
In the investment world there has been an arms race going on for years: seeking alpha. Active managers seek alpha and investors seek managers with alpha. Quants seek alpha models and try to distinguish themselves by identifying new sources of alpha. Lately more and more investors say that what we used to think of…