Adaptive Asset Allocation: Dynamic Global Portfolios to Profit in Good Times - and Bad (Adam Butler; Michael Philbrick; Rodrigo Gordillo, 2015)

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Review: Easy read with small sections, not the beginner to finance though. Good strategic asset allocation execution at that time, some fundamentals will never change. Rate: 7.5/10


  • “We would rather lose half of our clients during a raging bull market than half of our clients’ money during a vicious bear market”
  • Risk is measured as the probability that you won’t meet your financial goal, investing should have the exclusive objective of minimising this risk
  • Expert deliver better forecast by flipping coins
  • The whole is greater than the sum of its parts
  • Plan for the worst but hope for the best
  • Strong early return and weak late return vs. weak early return and strong late return
  • Optimal portfolio parameters: expected volatility, expected correlation, expected returns
  • (Allocation of stocks) x (volatility of stocks) = (allocation to bonds) x (volatility of bonds)
  • Optimisation methods: equal weight, naive risk parity, robust risk parity, mean variance
  • Tactical Alpha is often defined as active excess return relative to a policy portfolio, that is achieved through Tactical Asset Allocation decisions
  • Principal component analysis (PCA) is a method of extracting the endogenous, or latent, dynamics that exist in a system
  • Safe withdrawal rates parameters: age of investment, investment risk tolerance, longevity risk tolerance, failure risk tolerance


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