Benjamin Franklin's original maxim found in Poor Richard's Almanac was actually "A penny saved is two pence clear" rather than the more commonly known "A penny saved is a penny earned." We believe he was getting at the notion that one risk-free penny is worth two pennies of expected but...

In a world of low rates and high stock prices, it's natural many investors are looking for ways to earn a good return with limited exposure to equities. However, many candidate strategies have return distributions which are significantly different from the Normal and Log-normal distributions...

Early in the 1950s, academics and investors started proposing in earnest a variety of summary statistics to capture in a single number the quality of an investment. Sharpe Ratio became the most commonly used, and it's an important metric, but maximizing Sharpe Ratio doesn't always maximize...

In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup &...

Financial derivatives have often been criticized as casino-style betting instruments. It turns out that many naive ways of making them are indeed equivalent to gambling. Fortunately, this inadvertent effect can be understood and prevented. We present a theory of product design which achieves that

Quantitative structuring is a rigorous framework for the design of financial products. We show how it incorporates traditional investment ideas while supporting a more accurate expression of clients' views. We touch upon adjacent topics regarding the safety of financial derivatives and the role...

For US investors, international equity exposure has never been so readily available at such a low cost. Nonetheless, surveys indicate US investors typically allocate 80–85% of their equity holdings to US equities, much higher than their proportion of global market value. In this note we...

"What are the origins of risks?'' and "How material are they?'' -- these are the two most fundamental questions of any risk analysis. Quantitative Structuring -- a technology for building financial products -- provides economically meaningful answers for both of these questions. It does so by...

In this note we present several thought experiments involving coin-flipping to illustrate the common tendency to over-weight past data in forecasting the future, particularly in the context of investment returns. We start by describing a survey we conducted of about 700 respondents involving the...

A sound policy for spending wealth over time is as important as a sensible investment policy. It's a complex problem for taxable individuals with finite, uncertain longevity. A good start is thinking about the simpler problem of how one would spend if immortal. This is exactly the real problem...