Portfolio construction through handcrafting: The method

This post is all about handcrafting ; a method for doing portfolio construction which human beings can do without computing power…

Vol Targeting and Trend Following

We are long. The price jumps up. Good. But this means the risk goes up So cut our position, just as we're finally making seri…

CTA allocations, QE, meta-prediction, and conditional return distributions

As most of you know my last proper job ( part time  lecturing and occasional consulting gigs do not count) was managing the fixed…