by IanRayner | Jun 4, 2018 |
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.
by IanRayner | May 1, 2018 |
Before you can start analyzing hedge funds you need to scrub the data. We look at the basics of hedge fund data hygiene. We give you some tips and tricks specific to Hedge Funds, and tell you what to watch out for.
by IanRayner | Jan 25, 2018 |
I review “Multi-Dimensional Diversification” by Dr. Rufus G Rankin. It’s a quick, jargon-free introduction to using principal component analysis as a route to creating a more diverse asset portfolio. Highly recommended.
by IanRayner | Jul 4, 2017 |
Applying a linear trend line to the value added monthly index gives a better estimate of returns than compound annual growth rate. It differentiates between different return distributions and is less affected by noise.
by IanRayner | Jun 19, 2017 |
Focusing on CAGR is a mistake unless you are aware of its limitations. We take a closer look at Compound Annual Growth Rate, to see what it leaves out, and how it can be affected by chance.