by IanRayner | Dec 4, 2020 |
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.
by IanRayner | Apr 29, 2019 | We were lucky enough to be featured in another article from Profit and Loss Magazine – CTAs Feeling the Heat. We provided data and analysis, and a number of our charts were included. Following is a synopsis. CTAs Feeling the Heat: 2018 saw CTAs cap a generally...
by IanRayner | Jul 11, 2018 |
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.
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 | Jan 24, 2012 | This is a follow-up to my previous post in which I described Rousseeuw’s FastMCD algorithm for using the minimum covariance determinant approach to calculating a robust covariance matrix. I want to use the example from that post (the relationship between the...