Category Archives: Risk Management

High Bond Market Returns Offset Commodity Losses of Diversified Portfolios

The high bond market returns this year so far make up for losses of diversified portfolios in precious metals and commodities. The Price Action Lab diversified ETF portfolio is up 9.5% YTD, 2% lower than the SPY buy and hold return. Share

Posted in Market Statistics, Risk Management, Trend following | Tagged | Comments Off

End of Year Portfolio Reallocation Panic

Fund managers are selling precious metals, energy and commodities as we are approaching the end of this year in order to avoid underperforming the SP500 during the next rolling two-year period. Bonds are not yet affected but they may be soon. Share

Posted in ETF Analysis, Market Statistics, Risk Management | Tagged , | Comments Off

Market Days Like Yesterday Are True Gifts

When the market opens 1% down but then recovers most of the loss, this is a gift to most traders from nervous market participants who ignore the FED and pay attention to what is going on with some Portuguese bank. This … Continue reading

Posted in Market Statistics, Risk Management | Tagged | Comments Off

Kelly Fraction and Leverage May Lead to Underperformance or Even Ruin

In this blog post it is shown that in the case of S&P 500 Index, use of the Kelly ratio has not provided protection to investors from large drawdowns and that use of Kelly leverage has led to total ruin. It turns out … Continue reading

Posted in Risk Management | Tagged , , | Comments Off

Market Risk: Principles and Practice

The longer a position is exposed to different market conditions, the higher the probability of an adverse event occurring but actual losses depend on entry level. In this article I provide a simple method for estimating the risk of a passive investor or trend-follower. Share

Posted in ETF Analysis, Risk Management | Tagged , | Comments Off