by IanRayner | Dec 4, 2020 |
If you are going to use some set of risk-reward measures (such as Sharpe Ratio) to judge investment performance, you need to keep your eyes on the prize: The overall performance of your portfolio, not that of the individual portfolio components.
by IanRayner | May 27, 2019 |
Comparing a hedge fund manager to a random version of him or herself is a great alternative to index benchmarking. I introduce my random portfolio generator, show you how it works, and provide the code.
by IanRayner | Apr 29, 2019 |
We were lucky enough to be featured in another article from Profit and Loss Magazine – CTAs Feeling the Heat. We provided data and analysis, and a number of our charts were included. Following is a synopsis. CTAs Feeling the Heat: 2018 saw CTAs cap a generally...
by IanRayner | Feb 12, 2019 |
The Markowitz Bullet underlies the best-known and most widely-used portfolio optimization approach. We provide a guided tour using a 3-asset portfolio.
by IanRayner | Sep 14, 2018 |
We are featured in a Profit & Loss Magazine Special Report discussing hedge fund performance, along with luminaries Cliff Asness and Bill Lipschutz!