fluvius

Risk Management Lessons From 2008

After reading Taleb and knowing the standard deviation calculation (assuming a normal distribution) is a poor predictor for the fat tails evident in market returns, I now model a 10 standard deviation monthly return risk just to ensure I can survive it. A 10 standard deviation move happens much more often in real life (due to the fat tails) than would be predicted by the normal distribution. The 10 standard deviation loss (on a monthly basis) was not that far off of what I saw this past September thru November.

Good article.

Are Index Funds the Only Rational Choice?

Stop with the infomercials for Quantext Portfolio Planner