Pat Welton · Top Traders Unplugged · TTU153: Why Investors Keep Getting Trend Following Wrong ft. Patrick Welton
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Implemented volatility targeting for the portfolio, adjusting exposure so that overall volatility stayed within a target range (average ~15%, ranging 10-20%)
average 15% vol, range 10-20% vol
“I would do volatility targeting at the portfolio level… if I would expect that the volatility going forward would be elevated, then I would cut the risk across the board at a portfolio level.”
“We have seen targeted kind of intervention by the President of the Bank of India, because you can't let the markets decide what the exchange rate will be… it's not going to be the market itself leads to enlarged volatility.”
“It gives exposure to international equities… companies that have high return on equity, low financial leverage and stable year-on-year earnings growth… provide defensive characteristics and historically outperformed during periods of higher market volatility.”
“If you look at our private company portfolio, we're targeting in excess of 20 percent IRR.”
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