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Technical
Risk and Math of Returns
The Volatility Drain
  • arithmetic vs geo: how compounding changes the mean returns
  • how compounding messes with your observations in real life
  • protecting yourself from the impairment that comes with volatility
  • cross insights from options trading
Path: How Compounding Alters Return Distributions.
  • An exploration of how path or sequence of returns affects compounding. The compounded case is better when we trend and worse when we “chop”. If bet a fixed percent of our bankroll fair coin toss game we are in compound return land. Compounding is not “bad”, it just alters the distribution of our terminal wealth
  • Lessons from compounding coin flips
    • Your overall expectancy is zero because the common chop balances the rare but heavily compounding trends.
    • Paths affect distribution of p/l even if they don’t affect expectancy.
    • Since we actually experience “path” and all its attendant emotions, it pays to think about the composition of expectancy and returns.
Where Does Convexity Come From?
  • What convexity is and what convexity isn't.
Do Professional Investors Understand Fees?
  • Fees need to be considered in light of the strategy. This requires being thoughtful to understand the levers. Unless you are comparing 2 SP500 index funds, it’s rarely as simple as comparing the headline fees. If we all agree that fees are not only critical components of long-term performance while being one of the few things an allocator can control, then misunderstanding them is just negligent. A one size fee doesn’t fit all alternative investments so a one size rule for judging fees cannot also make sense. Compared to the difficulty of sourcing investments and crafting portfolios getting smart about fees is low-hanging fruit.
Portfolio theory is not intuitive
Shorting & Leverage
Being numerate
 
 
 
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Theory and Education
Risk and the math of returns
The Volatility Drain
  • arithmetic vs geo: how compounding changes the mean returns
  • how compounding messes with your observations in real life
  • protecting yourself from the impairment that comes with volatility
  • cross insights from options trading
Path: How Compounding Alters Return Distributions.
  • An exploration of how path or sequence of returns affects compounding. The compounded case is better when we trend and worse when we “chop”. If bet a fixed percent of our bankroll fair coin toss game we are in compound return land. Compounding is not “bad”, it just alters the distribution of our terminal wealth
  • Lessons from compounding coin flips
    • Your overall expectancy is zero because the common chop balances the rare but heavily compounding trends.
    • Paths affect distribution of p/l even if they don’t affect expectancy.
    • Since we actually experience “path” and all its attendant emotions, it pays to think about the composition of expectancy and returns.
Where Does Convexity Come From?
  • What convexity is and what convexity isn't.
Do Professional Investors Understand Fees?
  • Fees need to be considered in light of the strategy. This requires being thoughtful to understand the levers. Unless you are comparing 2 SP500 index funds, it’s rarely as simple as comparing the headline fees. If we all agree that fees are not only critical components of long-term performance while being one of the few things an allocator can control, then misunderstanding them is just negligent. A one size fee doesn’t fit all alternative investments so a one size rule for judging fees cannot also make sense. Compared to the difficulty of sourcing investments and crafting portfolios getting smart about fees is low-hanging fruit.
Portfolio theory is not intuitive
The meta of market efficiency
Series on option greeks
Being numerate
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