The typical pie-chart of diversification ends up being all long-GDP assets, which means these are going to do well in a risk-on environment, when we’re awash with liquidity. The problem is, when we see a sell off or a liquidity event like March 2020, we see the correlations of an ‘uncorrelated’ pie chart go to 1, which means that they all sell off at the same time.—Jason Buck
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In This Episode, You'll Learn:
- How Jason got to where he is today
- If the initial risks Jason set out to protect his clients against, have changed
- Why CTAs could be considered ‘long-volatility’ assets that provide protection during broad market selloffs such as 2020
- The benefits of ‘ensemble’ investing
- The opposite requirements of building wealth versus keeping wealth
- Why a sample size of 100 years is still just an anomaly
- Why the typical ‘diverse’ portfolio might be riskier than investors realise
- What a ‘long-volatility’ asset looks like
- The history of long-volatility assets
- The term ‘crisis alpha’ and what it means to him and his clients
- How to overcome the challenges of educating investors about volatility-event risks
- Whether the addition of long-volatility components to portfolios today has affected his initial approach
The problem with Sharpe Ratio is that it was originally built as a portfolio tool to measure the portfolio level, but now we measure individual strategies or individual managers with Sharpe, and that was never the intention.—Jason Buck
- Why the Sharpe Ratio is often misunderstood as a risk measurement tool
- How much, and why, returns vary among different long-volatility managers
- How to approach position sizing with black swan events in mind
- Some of the common investor mistakes
- How to choose between different Trend Following managers
- How to create a strategy for inflationary and deflationary environments
- If less-liquid assets can be safely incorporated into a portfolio
- How to analyse backtests properly
- If Jason uses Gold and Bitcoin in his long-volatility strategies
- What keeps Jason up at night in terms of risks
Connect with Mutiny Fund:
We had a lot of family and friends coming to us and saying, I've read a Nassim Taleb book or Chris Cole's white paper. How do I do this? And if you don't have tens of millions of dollars, there was never a solution. So as entrepreneurs, we figured out there had to be a solution to this, and the piece that was missing was this long volatility, tail risk piece. And so we set out to create that opportunity for retail to get access to this asset class.—Jason Buck