No. of Recommendations: 2
Got an interesting email from Meb Faber's curated Idea Farm a couple of weeks ago.
https://link.mail.beehiiv.com/ss/c/u001.RgsHqceVys....
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Man Group reiterates the benefit of focusing on the fundamental concepts of diversification, volatility-based exposure management and systematic risk overlays to safeguard the tail."Basic summary: scale into or out of asset classes based on inverse volatility - as volatility (risk) goes up, the allocation goes down.
What they describe is an adaptive asset allocation model, but not based on trend or trend ranks the way classic GTAA does it; instead, it's based on recent volatility. It's similar to another paper I just posted about that relies on switching into PDBC (as a proxy for CTA) when equities head south more than 10%.
I tried a Portviz adaptive model here at this link, but I don't get their definitions of allocation changes. If someone would mind enlightening as to allocation weights being based on Risk Parity, Minimum Variance, Linear Decreasing/Increasing or Geometric Decreasing / Increasing - I'd appreciate it. The others I get; linear decreasing what?
https://www.portfoliovisualizer.com/tactical-asset... 