Strategic Asset Allocation Revisited

How to beat the market with zero leverage and strictly less risk

Erkko Etula, who pioneered intermediary asset pricing in his doctoral dissertation at Harvard and is now a Managing Director at Goldman, tried to convince me that ‘market timing’ is impossible. This was in the context of the volatility trade. I had figured out that dealers buy up the short end of the VIX futures curve when their risk constraints bite, s…