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Resolve's Gestalt University

Sep 22, 2020

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day.

Every time equity markets experience a major selloff, investors’ attentions are drawn to the handful of strategies that actually benefitted from the event. So-called crisis alpha comes in many flavors and iterations, which further complicates the allocation decision. Our friend Jason Buck (CIO of Mutiny Fund) sought to solve this problem a few years ago. He joined us for a conversation that included:

  • The different kinds of risks to portfolios and how to protect against them
  • What actually constitutes a tail event
  • Moneyness, sizing and using wrinkles to reduce volatility drag
  • Finding an ensemble of strategies that doesn’t bleed money outside of major drawdowns
  • Rebalancing – a true and underappreciated source of return

We also discussed how to position a tail protection strategy (or an ensemble of them) within an overall diversified portfolio and what form that portfolio might take. The difference between time-series and ensemble probabilities was also debated – and the term ergodicity may have been thrown around a bit.

Thank you for watching and listening. See you next week.