Modern Portfolio Theory optimizes comfort, not returns
The speaker argued that Modern Portfolio Theory provides emotional comfort by minimizing variance and downside fear, but ultimately adds no real value to long-term investment performance.
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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 investorsEXCESS RETURNS
- Modern Portfolio Theory optimizes comfort, not returns · THIS IDEAEXCESS 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