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 | May 27, 2019 |
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.
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 | Jun 13, 2018 |
Hedge fund return predictability depends on having a long track record to analyze. How long is long enough? You won’t like the answer.
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.