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We will show that the single best metric predicting drawdown risk is portfolio volatility normalized (divided) by Sharpe ratio i.e. fraction of full Kelly allocation. We first derive the formulas for...

We will see how the diversification assessment framework provided by conventional finance theory is not applicable to what long-term investors really care about – compounded returns. As long-term investors...

Expected return is at the center of financial analysis. But when you hear expected return, you can’t be sure if it is geometric expectation (time average) or arithmetic expectation (ensemble average)....