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@dampedspring It’s an amazing time when retail folks can get info like this for free to help them build and secure their financial futures. Critical given the average advisor is a used car salesmen, could never define any portfolio construction technique

I manage my wealth this way in general and I am positioned this way within this framework today 101 I take $100 of cash And invest in DSSmart Beta which is always long global stocks bonds, gold, and commodity indices. That allocation size is between $50 to $130. At the low allocation I have $50 of cash invested in global money market mutual funds. At the high I am leveraged 30% which I fund by shifting from ETF's to futures and via other low cost leverage With the $100 portfolio as described as my "collateral" I buy options, buy 1x1 options spreads, sell 1x1 option spreads in a strategy called DSAlpha. This portfolio construction results in 💯 certain worst case loss at any particular time. On rare occasions (like today) I also hold futures contracts (long or short) with wide stop losses which could result in unlimited loss but that is unusual. The net return on my $100 is then the dollar pnl of each strategy summed up and divided by my investment amount. Thats DSAlphaBeta return DSSmartBeta can be reported separately but its denominator is $100 regardless of its allocation DSAlpha needs a denominator too. People cheat to show high returns by using low denominators. I do not cheat and simply divide the PNL by the same $100 meaning the total pnl of both strategies, the pnl of beta and the pnl of alpha are all first in dollars and second divided by the same denominator which is my wealth. Their sizing in terms of pnl and risk contribution is roughly the same and targeted at 10% annual volatility AND the two strategies are meant to be uncorrelated and are not "hedging" each other but are diversifying each other Anyway currently this is DSSmartBeta allocation which is long roughly 16% of global equities Based on current marks my DSAlpha book of equity puts, oil shorts and a small STIR bet has $3 of put spreads which will be worthless by June (most) and September (less) if equity markets stay here. The DSAlphabeta portfolio currently has 16% long equities from SmartBeta and the $3 of puts generates a short delta of 50% for an overall portfolio delta of -34%. It just so happens that alpha is short and beta is long and my net is short which would imply alpha is a hedge. Its not. In 2021 SmartBeta was 130% long and alpha was max long. Today one is long (always long) and the other is max short. Beta is always long and had a lifetime horizon. Alpha is long short or no position and has a 2-6 month horizon. I treat them separately because I think they are separate activities. I've though market timing and long only investing are separate skills for my whole career. Bridgewater training further crystallized that distinction for me. Some disagree. Particularly those who want to charge high fees for beta returns (pretty much everyone on the planet grifting you) I can't be more clear than this and if you don't understand what I am talking about feel free to search my feed with the prompt "101" where I articulate basic concepts in money management, portfolio construction and options investing. Also there are great people who can help you through these concepts including @perfiliev and @KrisAbdelmessih (two of my favorites).

@shortbus_ace “But sharpe ratio”

Charging 59bps to underperform what retail could buy for 2bps also seems like penalizing the retail investor, but maybe that’s just me 🤷‍♀️

@_TruthOutThere @dampedspring DBMF is a replication strategy, completely different. Doesn’t trade anywhere near the number of markets or timeframes. Only has about 12 positions

@dampedspring $KMLM does not trade equity futures. So it is a bit unique. $FFUT similar to $DBMF, but has better performance and ~10 basis points lower fee.

Shill me your favorite trend following futures etf. Preferably one who didn't get absolutely fucked over the last 7 weeks

@dampedspring $FFUT trades 170+ markets across timeframes and asset classes including EM and frontier

@MebFaber @Fidelity Then pay so that your fund is on the NTF list. Your passing the cost to your clients

AHAHAHA, they actually did it. The cretins at @Fidelity are charging retail $100 commissions to trade 1 share of some ETFs. Gross.

@dampedspring All roads lead to overweight cash and uncorrelated alpha strategies

The great failure of 60/40 and risk parity was holding bonds at ZIRP "for portfolio diversification benefit". Pricing matters. Today Gold and commodities have saved every portfolio that was smart enough to hold them. Daily you hear about the essential need for holding these assets "for portfolio diversification benefit" At DampedSpring we are currently quite concerned that pricing matters and these assets are now priced like bonds at ZIRP

@real_doc_speaks And isn’t it common sense that doctors , in relation to other high skilled professions, are not making outsized and probably less when factoring in decades of life given up and cost of schooling / lost wages. This will drive high talent people to other industries, hurting quality

You are focusing on 6% of healthcare spending. The real money is focusing on the other 94%!

@uckema You must be the dumbest person alive

You guys are literally making me see why Cuba and most developing countries put massive price caps on physician wages

@ysza_ysza_ysza @rev_cap Risk parity uses leverage - your gross exposure is close to 200%. That’s how you can match the market with less risk

@rev_cap I think the only failure with a risk parity approach is the weight on fixed income. In past decades, the fixed returns were reasonable but now we’re talking maybe 4-5% fixed, versus equity variance maybe 20% or so (depending on sector allocations). Does 80% F/I still outperform?

@dampedspring @thepmoss 70% to all weather and 30% to aqr mult Strat fusion high vol for me!

@thepmoss feel free to replace with 60/40

If you are persistently leveraged long assets above your risk target you are doing it wrong and this month is a lesson. Consider moving to your risk target If you are perma bear and always underinvested and in cash you have been a failure and your career as in investor is your lesson If you have been cautiously scaling out of stocks and bonds and are underweight, great job. BUT the only reason to have done that is to get back to target risk. You probably didn't call the top and you won't call the bottom. If you're comfortable deviating from your risk target modestly feel free to leverage a bit into a real decline. Don't miss either side. If you are always long beta at your risk target as a long term investor you are almost certainly NOT reading this and are out enjoying your life. Always own beta

@dampedspring Another great post and sincerely appreciate you sharing your thought process with us. Any thoughts on expanding to help less sophisticated folks who need guidance on how to think about risk in their portfolio. Is st dev correct- is it more expected drawdown oriented?

@dampedspring How are you thinking about deploying more cash from your current 20% level

Lots of vol. Crap returns for Trump Term so far. Biden's markets still? Had to own commods and gold AND not got sucked into the "Crypto President fiasco" (BTC down 33% not shown)

@dampedspring @sdav1986 Trump always moderates his position as he purposely starts with an extreme to make moderate position seem more palatable- wouldn’t call it chickening out

@sdav1986 Agree and I use it a lot. But the acronym is really on point no? Trump always chickens out?

it’s the most retarded term ever. used by people who don’t trade for a living but charge for a substacks

@BobEUnlimited @nishantkumar07 Please launch an etf that stacks this on top of beta! Capital efficient solutions are the future!

Sure some macro funds haven't done well this year, but in aggregate they've delivered. Another example of why alpha indexing > individual manager selection. x.com/UnlimitedFnds/…

@dampedspring Hi Andy- happy Friday. I know you like your credit dislocations. Thoughts on public BDCs given NAV discounts. A few higher quality ones pricing in staggering defaults. Seems like good asymmetrical return potential - especially in tax advantaged accounts

After a massive run in non U.S. assets for 14 months, over the last few weeks, I have been getting out of the "Get Out" trade for my long only long term beta portfolio. Current portfolio is a globally balanced DM markets portfolio including gold and commodities. Still underweight assets vs my risk target with 20% cash but neutral to US vs ROW. Not catching any knives yet. But prepared to do so.

@RMBee Same. I wasn’t interested and now am! And trust me, I despise Gunn and his DCU so I think that says something

I can't believe I'm arguing about a GREEN LANTERN series we've only seen two minutes of footage from, which I actually LOVED. Because...my opinion is the only one that matters...TO ME.

@dampedspring Still overweight cash?

Everyone back in the pool!

@dampedspring @dvandenbord @dispicable2020 I think the challenge is that most Americans despise paying more in taxes when so much of it is wasted or given to foreigners both here and abroad

@dvandenbord @dispicable2020 Why has it become normal to just accept increasing the deficit for any reason at all during a strong economy. Where did fiscal responsibility die? Uniparty does t represent me

Many blue collar workers are seeing real benefits from the no tax on overtime relief! That could make all the difference in saving for retirement! It isn’t going to happen overnight or in one year!

@dampedspring I think he figured he had room to go higher given the response. He clearly is trying to strike a balance. I think he is fine with flat stocks given recent returns. Flat stocks with lower yields and maximizing tarrif revenues is the name of the game

10% section 122 and all the rest was preplanned response to adverse scotus decision Despite the trope that trump is a temperamental baby who had bis feelings hurt and lashed out on saturday and increased to 15% It seems obvious that increasing to 15% was planned as well. The trigger for executing could be lots of things that "happened" on Friday but it seems the only "real" thing that happened was the stock market cheered his defeat. What should one take from that Temperamental bitch or wants stocks down so he can blame someone

@SenWarren And what about stealing our money and giving it to illegals? Or Harvard getting its tax status and paying you $500k a year for one class?

When someone illegally takes your money, that’s called stealing. Donald Trump stole your money with his illegal tariffs — and you paid higher prices on everything from housing to groceries. It’s time for Trump to pay up and give back your money.