Did anyone check out the IOFIX mutual fund (performance slightly better than IOFAX share class below)? If it's as consistent a return as it looks couldn't I just short BIL (0.7% fee rate and about 1.5% yield currently) and invest most of the proceeds into this to earn the 10-11% rate? The fund has a sharpe ratio of over 3.0 (!)
Excellent comments. I have a couple of questions for you sir: 1. In your backtest for the 20% stock, what indices did you use? 2. Taleb used the 20% for options instead, specifically hunting for tail events. Did you backtest that? Many economists and traders thought Taleb's method, buying tails won't work too well.
Problem with tail events are that you never get enough of them to make a statistically significant backtest. So you probably have to make some assumptions, if buying tails help sleep better at night or it complements the portfolio, we should include it
1. I used the S&P Composite Index from the Robert Shiller website 2. I dont think there is any way to backtest that for long periods since options started in the 70's. But when talking about the barbell he specifically mentioned startups. So my barbell is not exactly like his but its similar in spirit. Read his barbell paper for more information