Management of Financial Risk |  Sharpe Ratio; Calmar Ratio: Pain to Gain Ratio
Jan21

Management of Financial Risk | Sharpe Ratio; Calmar Ratio: Pain to Gain Ratio

There are many risk metrics one can use to evaluate, the performance of a fund manager. The risk metric that has become the standard for judging fund manager risk performance is the Sharpe Ratio.  The Sharpe Ratio – A ratio developed by Nobel laureate William F. Sharpe to measure risk-adjusted performance. The Sharpe Ratio tells us whether a portfolio’s returns are due to astute investment decisions or a result of...

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Hedge Funds Alpha
Oct24

Hedge Funds Alpha

  So the World Money show in Toronto is finished!  It was well organized and I met a lot of nice individuals.  I was able to take in four speeches at the World Money Show. Since I am a systematic trader I didn’t want to spend too much time in the speeches that talked about systematic trading even though I did take in one speech about “Backtesting and its Pitfalls” which was well done.  I heard a particular phrase being...

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World of Hedge Funds
Sep25

World of Hedge Funds

Pertrac has published an info graph on Hedge Funds that I find extremely useful.  After looking at the info graph I’m actually surprised by some of the items on the infographic. 1) Under the section named “Where is wealth concentrated?”  There are no countries from Asian with in the top ten. 2) There are only 637 Hedge Funds in all of Asia! 3) I had no idea the Hedge Fund space was so large in Brazil! 4) Small Hedge...

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The Deception of Short Term Performance
Jul16

The Deception of Short Term Performance

The Deception of Short Term Performance| “A person must be an optimist to be in this business, but I also believe it’s a cyclical phenomenon for several other reasons. In our 18 years of experience, we’ve had to endure a number of long and nasty periods during which we’ve asked ourselves this same question. In late 1981, our accounts had lost about 42 percent over the previous 12 months, and we and our clients were starting to wonder...

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