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The Kelly Criterion
A formula for the position size that maximises long-run growth. Mathematically clean, extremely sensitive to inputs nobody knows, and almost never used at full size.
Advanced3 min read
Risk
Hedging
Taking an offsetting position to reduce an exposure. Every hedge costs something, and the cost is frequently less visible than the risk it removes.
Advanced3 min read
Risk
Tail Risk
The rare, large losses that dominate long-run outcomes. Standard risk measures are built on a distribution that understates exactly these events.
Advanced3 min read
Risk
Correlation Between Strategies
Running several methods at once diversifies only to the extent they fail at different times. Most methods within one style fail together.
Advanced3 min read