Flirting with Models
Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies.
Philip & Allan Maymin – Compounding Through Risk, Not Return (S7E35)
Why might managing drawdowns improve long-term compounding more reliably than chasing average returns? Philip and Alan Maymin, co-heads of global asset allocation at Janus Henderson, discuss using options as forward-looking signals of upside and downside risk. They explain how those signals propagate across more than 4,000 assets, and why simple portfolio construction can better reflect client objectives, taxes, and constraints.
Key Points
- Managing risk, especially drawdowns and tail outcomes, is a more durable way to improve compounding than chasing unstable average returns.
- Options markets can be used as forward looking signals of upside and downside risk, helping portfolios tilt toward convexity rather than benchmark tracking.
- Simple, objective based portfolio construction can be more robust than complex models when the goal is to align exposures with client constraints, taxes, and long run wealth growth.
Chapters
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| 2:29 | |
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| 11:47 | |
| 18:38 | |
| 31:44 | |
| 42:14 | |
| 45:00 | |
| 51:22 | |
| 53:46 | |
| 58:01 |
Transcript
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