The Markowitz Bullet underlies the best-known and most widely-used portfolio optimization approach. We provide a guided tour using a 3-asset portfolio.
We are featured in a Profit & Loss Magazine Special Report discussing hedge fund performance, along with luminaries Cliff Asness and Bill Lipschutz!
We show how manager diversification improves confidence in predicting future hedge fund returns and can be used as a substitute for demanding long track records.
Hedge fund return predictability depends on having a long track record to analyze. How long is long enough? You won’t like the answer.
In this quick note on compounding vs volatility. I demonstrate how volatility of returns interferes with the compounding process leading to returns lower than the casual observer might expect. I raise the specter of how this may negatively impact portfolio optimization.