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The Sharpe Ratio Ratio

1 July 2019Research & presentationsinvesting, quantitative analysisNick Dunbar

Portfolio optimisers often give results that are extreme and unstable. With so many variables involved, it can be hard to decipher why. This article presents a simplified formula for a two-asset optimisation which will bolster your intuitive understanding of how a portfolio optimiser behaves and why it may behave badly. Download the paper here About…

Fear and liquidity in the high-yield market

19 August 2014Credit, MarketsETFs, investing, trading, US high yieldNick Dunbar

Junk bond funds are seeing record outflows. This has been described as a 'six-sigma event', in other words, six standard deviations away from the mean weekly flow, something that if normally distributed should only be expected once in millions of years. By definition that's unusual, but in the context of broader investment in riskier corporate…