Thought
blogIn 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 Case For Hedge Funds And Managed Futures
I make the case for alternatives in institutional portfolios. Far from reducing exposure to hedge funds, investors should be increasing it. Simple portfolios and dramatic results make the point.
The following are the latest articles we have written:
Keep Your Eyes On The Prize
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.
Random Portfolio Generator – Are you Good or Lucky?
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 – A Guided Tour
The Markowitz Bullet underlies the best-known and most widely-used portfolio optimization approach. We provide a guided tour using a 3-asset portfolio.
Multiple Managers vs A Single Manager: Return Predictability
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
Hedge fund return predictability depends on having a long track record to analyze. How long is long enough? You won’t like the answer.
Compounding vs Volatility: Nobody Gets Average Returns
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.
Ian Rayner
