Author: Mark Rzepczynski
Prior to co-founding AMPHI, Mark was the CEO of the fund group at FourWinds Capital Mgmt. Mark was also President and CIO at John W. Henry & Co., an iconic Commodity Trading Advisor. Mark has headed fixed income research at Fidelity Management and Research, served as senior economist for the CME, and as a finance professor at the Univ. of Houston Baer School of Business.
| |“What is your Sharpe?” This is one of the first questions that is always asked of managers. The mangers will firmly reply, “My Sharpe ratio is X.” The conversation then moves onto the next question as if this one number serves to address the performance issue, yet the Sharpe ratio is dynamic. In a drawdown, no one wants to even see that number. When things are going well, the Sharpe ratio is king. Investors have to accept that this is a variable number because the underlying assets bought by funds have variable Sharpe ratios … Read more Beware, Sharpe Ratios are Time-Varying
| |There is a common view by some that if you want to show how smart you are you should tell people how complex your investment process is relative to others. Wow investors with your skill and mental dexterity and this will win you new money. Be and act like the smartest man in the room … Read more The Value of Simplification – Good for Investing and Due Diligence
| |Liquidity is never present when you need it. This truism is especially the case when there is a financial crisis. A crisis become a liquidity event if sellers cannot find buyers at a fair price or at extreme any price. If the security is more specialized or complex, it will be even harder for the seller to find buyers. There will have to be a greater price decline from fair value before a buyer is found … Read more Getting Ready for a Liquidity Event Through Using Index Futures
| |Investors do not know the impact of different alternatives in history. In fact, history is subject to discovery and this process of historical discovery is subject to biases as we try to sift through facts … Read more Scenario Analysis – Because There is More Than One Path to the Future