Comprehensive list of dynamic asset allocation academic papers

The one thing that ALL investors agree on is that another recession is coming…someday.

Over the long-run, since 1877, Risk Parity’s performance looks very similar to a 60/40. However, the eye can easily miss the ‘wild swings of dispersion’ along the way.

The stock market can be a casino to some, and a solid investment to others.

The rise and fall (?) of Risk Parity is a great case study of the frameworks I have been writing about so far. We start with the concept of “Chasing Diversifiers.”

Nothing sounds simpler than earning the return of a simple 60/40 strategy, right? Just buy two ETFs at Vanguard, Global Stock and Global Bonds, for a combined 14 basis points fee, re-balance quarterly and you are done, right? The reality for most investors could not be further from this.

1.       Crashes and Low Returns (link)

2.       Low Conviction (link)

3.       Mis-Definition of “Risk” (link)

There are two kinds of randomness, one that is harmless and one that can hurt. 

Knowing which one your investments contain is important. 

A black-box ‘go-anywhere’ hedge fund = Strategy Risk

Buy and hold S&P500 for the long-run = Asset Risk