Hi Richard,

I’ve actually been constructing investment portfolios for over 19 years, and yes, I have plenty of real world evidence that alternative investments, when intelligently combined and held in reasonable proportion, do dampen portfolio volatility - and I don’t need to data mine or back test to prove it.

Unfortunately, I also have plenty of real world examples of alts failing to provide the promised downside protection, some very recent and very extreme: in March 2020, a leveraged credit fund that was boasting a 10-year Sharpe of 3.0 experienced a 23-sigma event; that’s my whole point, volatility is a flawed and unreliable measure of alternative investment risk, and so any analysis that is based on it is also flawed and unreliable.

I acknowledge that critiquing is easy and producing original work is hard. Nonetheless, it is in all of our best interests to provide honest and fair critique even when we agree with the conclusions of our colleagues; and to accept the fair and valid critique of others, even when they challenge our work.

That was the spirit in which I posted my first comment, and also the spirit in which I post my last.