Tag Archives: attribution


DITMo: Death of the Black Swan

by Peter J. de Marigny “I cannot get there from here, baby And I don’t care where I’m goin’ Change, Unchained… Nothing Stays the Same” Lyrics from the Van Halen song, Unchained, may be applied to investors’ skeptical view of how asset returns are “chained” together for attributions.  These “chained” returns are then used to create an attribution of returns […]

DITMo: Hedging without Shorting?

by Peter J de Marigny, DITMo Capital, Newport Beach, CA In a bull market hedged portfolios generally underperform.  The problem for most investors is that reducing risk requires forgoing upside benefit.  Should reducing risk be a question of diversification only?  This is an approach of many financial advisors using mean variance historical returns to show an “efficient frontier” curve.  The […]