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.
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.
Hacking Compound Annual Growth Rate
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.
CAGR – Does It Give a Distorted View?
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.
Ian Rayner
Hedge fund advisor: Make smarter allocations. Build better portfolios.