https://github.com/fergm/risk-mitigation
Roughwork ideas and models
https://github.com/fergm/risk-mitigation
Last synced: 3 months ago
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Roughwork ideas and models
- Host: GitHub
- URL: https://github.com/fergm/risk-mitigation
- Owner: FergM
- Created: 2022-09-03T10:45:28.000Z (almost 4 years ago)
- Default Branch: main
- Last Pushed: 2022-10-02T09:35:49.000Z (over 3 years ago)
- Last Synced: 2025-11-30T11:55:49.089Z (7 months ago)
- Size: 7.81 KB
- Stars: 1
- Watchers: 1
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
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README
# Risk Mitigation
High level notes and models for investing and wealth preservation.
*The cure mustn't be worse than the disease.*
## Rolling Roughwork
### Key Metrics
* CAGR/Median/Kelly Percentiles
* **Log return** on **Total Wealth**
* You can generalise to % of total wealth
* Beware, nominal values matter because of affordability thresholds/step-functions baked into reality
### Models & Visuals
All from *Safe Haven Investing* so far.
Visuals
* Bootstrap Paths Model
* X and Os Model (Sum of parts)
* Cost-Effect Safe Haven Frontier
Models
* P34 Petersburg Wagger - Shows how a bet can be good or bad depending on how much wealth you have.
### Industy Models:
* Portfolio Theroy Sharpe Ratio Efficient Frontier
* Show weaknesses such as leverage fragility
* See LML ErgodicityEconomics doc 2017
### Core Concepts
* Compound Average Grouth Rate (**CAGR / Geometric Mean**)
* Think of risk as things which reduce CAGR.
* Kelly Criterion (Sizing your position)
* Try to raise the lower percentile paths
* Median performance is more typical than mean performance
### Other
* Understanding **leverage**
* Magnifies risk
* Magnifies model error/uncertainty about risk
* Pseudo-leverage such as 3X S&P500 ETFs, limits downside?
* Closely related to sizing your position
* Handling **inflation** in return models
* Max log drawdown
* Falsification. Falsify hypotheses don't naively try to confirm them.
* Mechanical and Statistical Relationships. Don't confuse them. Mechanical is better but rarer.
External Resources:
* *Safe Haven Investing* by Mark Spitznagel: [Amazon Link](https://www.amazon.co.uk/Safe-Haven-Investing-Financial-Storms/dp/1119401798)