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 | 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.
by IanRayner | Feb 29, 2012 | In my previous post I looked at the problem of detecting a change in a randomly generated time series. At some point in the time series, the mean and/or the standard deviation used to generate the series makes a step-change. In this post I want to look at a more...
by IanRayner | Feb 27, 2012 | I thought I would share some of the basics of how to detect change in time series in a couple or three posts. I have been working on the math behind my manager-monitoring services with the objective of making them more rigorous. Rather than just looking at the...