1. Risk cannot be destroyed, only transformed.
2. “No pain, no premium”
3. Diversifying, cheap beta is worth just as much as equally diversifying, expensive alpha.
4. Diversification has multiple forms.
5. The philosophical limits of diversification: if you diversify away all the risk, you shouldn’t expect any reward.
6. It’s usually the unintended bets that blow you up.
7. It’s long/short portfolios all the way down.
8. The more diversified a portfolio is, the higher the hurdle rate for market timing.
9. Certain signals are only valuable at extremes.
10. Under strong uncertainty, “halvsies” can be an optimal decision.
11. Always ask: “What’s the trade?”
12. The trade-off between Type I and Type II errors is asymmetric
13. Behavioral Time is decades longer than Statistical Time
14. Jensen’s Inequality
15. A backtest is just a single draw of a stochastic process.
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