Variance as risk misleads long-term investors
The speaker argued that defining risk as price variance (beta) is a flawed foundation of Modern Portfolio Theory that ignores fundamental business valuation and permanent capital loss.
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The story so far
- Private equity face higher rate distressMONETARY MATTERS WITH JACK FARLEY
- Private equity model faces prolonged structural unwindPLANET MICROCAP PODCAST
- Variance as risk misleads long-term investors · THIS IDEAEXCESS RETURNS
- Modern Portfolio Theory optimizes comfort, not returnsEXCESS RETURNS
- Trend-following managed futures provide inflation-hedged non-correlationTHE ACQUIRERS PODCAST
- Redefining risk as goal failure versus volatilityTHE RATIONAL REMINDER PODCAST
- Combining managed futures and equities mitigates abandonmentTHE DERIVATIVE
- Managed futures belong in tactical allocations, not buy-and-holdTHE DERIVATIVE
- Combining equity beta with trend alpha maximizes efficiencyTHE DERIVATIVE
- Trend following remains structurally uncorrelated over timeTHE DERIVATIVE
- Equities outperform long-term buy-and-hold bond allocationsTHE DERIVATIVE
- Managing uncorrelation versus purchasing tail-risk insuranceTHE DERIVATIVE
- Sixty-forty portfolio's historical failure rateMASTERS IN BUSINESS
- Portable alpha as a more efficient leverageTOP TRADERS UNPLUGGED
- Markets are permanently coupled through diversificationTOP TRADERS UNPLUGGED
- Long vol as a band-aid for bad portfoliosTOP TRADERS UNPLUGGED
- Positively convex: more risk is less riskTOP TRADERS UNPLUGGED
- Lever concave risks creates disastersTOP TRADERS UNPLUGGED
- Private market funds carry high costs and frictionsWSJ WHAT'S NEWS
- Global diversification is a cheaper alternativeWSJ WHAT'S NEWS
- Smoothing volatility is a behavioral, not financial, benefitWSJ WHAT'S NEWS
HOW THE SHOWS HAVE DISCUSSED THIS THESIS OVER TIME · NOT A PERFORMANCE RECORD