The team at InvestResolve did a wonderful 12-episode Masterclass on the topic of portfolio construction.
- I took notes on the first 8 episodes that you can see below. I didn't take notes for episodes 9-12 as it they get into the weeds of quant methods, backtesting, and ensembles. I was more interested in a conceptual primer to risk parity as a portfolio construction method for diversifying across unique edges.
- The notes include a link to the episode as well as a transcript
Most important ideas
- A more diverse portfolio has a higher expected risk-adjusted performance over time.
- Asset allocation is useful because it maximizes the number of independent bets in the portfolio.
- Those bets are independent are sustainable because they're directly linked to fundamental economic properties.
- A risk parity portfolio is the most efficient portfolio if you believe major asset classes are fairly priced (ie their Sharpe or other measures of risk/reward are the same)
If you are short on time focus on the first 3:
The First Question: Security selection or asset allocationWhat True Diversification Really Is And How To Maximize ItThe 2 Fundamental Drivers That Determine All Economic Regimes
Pushing The Diversification Frontier With True Factor InvestingThe Impact Of Sequence Of Return Risk And How To Minimize ItFactor Investing And The Pitfalls Of Poor Strategy ConstructionHow To Think About Your Alternative Sleeve In THe Context Of Getting The Most Bang For Your BuckWhy Professionals And Their Clients Need To Get Comfortable With Being Uncomfortable