Q&A

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  1. Is this just long equities?
  2. Where did the money come from?
  3. What does the book hold right now?
  4. How much of the 20% risk budget is used?
  5. What did each month do?
  6. How does it look against benchmarks?
  7. Additional questions?

Is this just long equities?

The ten worst sessions for equities in this run. The question behind the correlation is really this one: when equities fall hard, what does the book do?

Where did the money come from?

What does the book hold right now?

How much of the 20% risk budget is used?

Under target is the design, not a miss. The sigmoid gates are built to under-lever the book rather than chase the target, which is why the line sits below it in every window of the run. The Overview carries the short version beside the volatility figure; the paper has the long one.

What did each month do?

Compounded from the daily equity curve, after costs and including interest — the same series the NAV chart on the Overview draws. A part-month is marked.

How does it look against benchmarks?

Ex-post vol normalized 10%

Additional questions?

I’ve tried my very best to answer all the possible questions a reviewer would come up with in my paper, therefore there’s a good chance what you’re looking for has been covered there. Still, if you don’t find the answer you’re looking for, contact me through the e-mail at the top of this page and I’d be pleased to answer you.