ReSolve’s Riffs with Jason Buck on Slaying Dragons and Tail Risk

This is “ReSolve’s Riffs” – live on Youtube every Friday afternoon to debate the most relevant investment topics of the day.

Every time equity markets experience a major selloff, investors’ attentions are drawn to the handful of strategies that actually benefitted from the event. So-called crisis alpha comes in many flavors and iterations, which further complicates the allocation decision. Our friend Jason Buck (CIO of Mutiny Fund) sought to solve this problem a few years ago. He joined us for a conversation that included:

  • The different kinds of risks to portfolios and how to protect against them
  • What actually constitutes a tail event
  • Moneyness, sizing and using wrinkles to reduce volatility drag
  • Finding an ensemble of strategies that doesn’t bleed money outside of major drawdowns
  • Rebalancing – a true and underappreciated source of return

We also discussed how to position a tail protection strategy (or an ensemble of them) within an overall diversified portfolio and what form that portfolio might take. The difference between time-series and ensemble probabilities was also debated – and the term ergodicity may have been thrown around a bit.

Thank you for watching and listening.

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Adam Butler, CFA, CAIA
Adam Butler, CFA, CAIA
Adam Butler is Chief Investment Officer of ReSolve Asset Management, sub-advisor to an alternative allocation strategy at Rational Funds. He manages ETF and futures based strategies including a global risk parity ETF, two Adaptive Asset Allocation funds, and a multi-strategy hedge fund. Adam is also author of the book Adaptive Asset Allocation: Dynamic Global Portfolios to Profit in Good Times and is ranked in the top 1% of authors by paper downloads on SSRN. He has authored over a dozen papers and dozens of articles on asset allocation; factor investing; quantitative methods; and portfolio optimization. Adam holds both CFA and CAIA charters and appears on BNN Bloomberg and CNBC.

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