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Monthly Archives: March 2016

Nasdaq+10y treasury portfolio volatility: 5-20%

09 Wednesday Mar 2016

Posted by Daniel in Uncategorized

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The 50-50 Nasdaqcomposite-10y treasury  continually dollar-rebalanced portfolio shows a range for the the historical volatility. 5% sets a floor in the post bretton-woods world. 20% annual volatility seems to be as bad as it can get at least in dollar terms. The equity market and the treasury market represent the most important claims in the financial world and in dollar terms they only deviate this much for the holder of the 50-50 portfolio. These claims can be said to be proxies for claims on the american public and private sectors respectively. For the holder of claims on both sectors the volatility moves in this range: 5-20%.

2016-03-09

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