The backbone of Logica's approach to markets is simply that behavioral biases in the decision making of buyers and sellers creates inefficiencies that can be exploited in a systematic fashion. This can be done through alpha generation and/or risk management.
We believe that managing the uncertainty inherent in predictive modeling is a more fruitful exercise than simply attempting to make better predictions.
Please view the links below. We hope you'll find unique perspectives in our white paper, which attempts to reconcile the Sharpe Ratio with what is typically the norm in the investment universe: a negatively skewed distribution of returns. Out of this came the need to create a new metric; a skew-adjusted Sharpe Ratio.
For more insight into the mind of Logica's CIO, Wayne Himelsein, and team, view our Research & Blog page.
We welcome any and all opportunities to discuss, and debate, our way of viewing the world. This is how we learn.
The Illusion of Skill - Evaluating Funds With Skewed Distributions
The Sharpe Ratio: A Blunt Weapon - Hiding the Risk of Asymmetric Returns