Didier Darcet
26 July 2021

Dangerous Fractality

Managing portfolio risks has nothing to do with massaging the average volatility; it is all about not being caught in violent market bifurcations. There are ways not to time bifurcations, but time the risk of bifurcations. Why? Because like nature, financial markets exhibit measurable fractal forms for the better, and for the worse.

This letter introduces fractality for two reasons:

  • Because it helps us to understand portfolio risk management.
  • Because today, it could be for the worse.