Keep Your Eyes On The Prize

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.

Profit and Loss Magazine – CTAs Feeling the Heat

Profit and Loss Magazine – CTAs Feeling the Heat

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...
Taking Out the Outliers II

Taking Out the Outliers II

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...