In these posts we demystify hedge funds and managed futures. Topics include the business aspects of hedge funds, useful industry data, and quantitative techniques. Use the tag cloud at the right (or below on mobile) to find what you want!
We have also published many of these posts on LinkedIn – feel free to connect!
If you read one article, let it be this one. It is the reason I do what I do.
The following are the latest articles we have written:
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.
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.
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 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.