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Pandichef
Pandichef

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Jun 6, 2022

How to Estimate a Sharpe Ratio With Aggregated Data

Sometimes you want to estimate a Sharpe Ratio, but you don’t have a clean return time series i.e., the return data is available at heterogenous intervals of time. …

Sharpe Ratio

3 min read

Sharpe Ratio

3 min read


Jun 5, 2022

Am I a Good Investor? How Long Should a Performance Track Record Be To Know For Sure

The following post focuses on using performance data to evaluate the quality of a trader or investment manager. To be sure, qualitative assessments are also valuable but are not considered here explicitly. The Sharpe Ratio The most commonly used tool to judge traders (and hedge funds) is the Sharpe Ratio (SR), defined as…

Sharpe Ratio

7 min read

Sharpe Ratio

7 min read


Jun 5, 2022

The Marginal Sharpe Ratio: A New Heuristic for Asset Selection

Portfolio optimization strategies typically involve an unintuitive procedure that combines individual assets’ expected returns, individual assets’ risks (i.e., standard deviations of expected returns), and the correlations amongst all assets to determine an optimal portfolio. The following post explores a simple heuristic that greatly simplifies the standard portfolio optimization algorithm: the…

Asset Allocation

4 min read

Asset Allocation

4 min read


Feb 28, 2022

The Impermanent Loss Rate of the Uniswap v3 AMM

In a previous post, I introduced a new term called the impermanent loss rate, which measures the cost per annum of delta hedging a liquidity pool due to its embedded optionality. In another post, I outlined the history of Uniswap and summarized the key formulas that characterize its AMM design…

Derivatives

7 min read

The Impermanent Loss Rate of the Uniswap v3 AMM
The Impermanent Loss Rate of the Uniswap v3 AMM
Derivatives

7 min read


Feb 27, 2022

Communal Equity: a New Model for Crypto Startup Financing

Last September, the Wall Journal Journal reported that the SEC started investigating Uniswap for violation of securities regulations. Since then, Gary Gensler at the SEC has repeatedly called for more regulation of cryptocurrencies, even suggestively stating that an outright ban is “up to Congress”. Meanwhile, in the crypto world, the…

Startup

4 min read

Startup

4 min read


Feb 27, 2022

A Brief History of Uniswap and Its Math

An automated market maker (AMM) is an algorithmic method for price discovery in a given market. This contrasts with the order book model used by traditional market makers. Central to the story of AMMs on public blockchains is Uniswap, which is the most successful AMM by TVL/volume and has inspired…

Uniswap

7 min read

A Brief History of Uniswap and Its Math
A Brief History of Uniswap and Its Math
Uniswap

7 min read


Jun 29, 2021

How Centralized Finance Rips Off Ordinary Americans

This post is a tale of two stories. The first is a story about how antiquated technology and regulations give a small cabal of Wall Street hedge fund managers enormous wealth and power. The second is a story about the invisible taxes buried deep in the mortgage creation process that…

Mortgage Lending

5 min read

How Centralized Finance Rips Off Ordinary Americans
How Centralized Finance Rips Off Ordinary Americans
Mortgage Lending

5 min read


May 25, 2021

Bitcoin Wasn’t Designed to Be “Cheaper or Faster”

Lee Reiners of Duke Law recently wrote an op-ed for the Wall Street Journal where he states, “I have yet to identify a single task or process that crypto makes easier, better, cheaper or faster”. …

Bitcoin

3 min read

Bitcoin

3 min read


May 1, 2021

A Primer on DeFi Due Diligence

In the following post, I look at the recent hack on Uranium Finance (Binance Smart Chain), identify points of failure and make suggestions for performing adequate due diligence in the context of making investments in DeFi smart contracts. Early April 28th (UTC), the Uranium Finance liquidity pools were drained. As…

Defi

8 min read

A Primer on DeFi Due Diligence
A Primer on DeFi Due Diligence
Defi

8 min read


Dec 18, 2020

The Slippage Ratio: A New Metric to Understand Curve.fi’s AMM Protocol

The Curve Whitepaper concisely highlights an approach to building an AMM that allows developers to control slippage. Curve’s primary use case is swapping stablecoins, where low slippage is essential to compete with centralized exchanges. In contrast, Uniswap and Balancer use a constant-product invariant (as the Curve Whitepaper describes it); on…

Uniswap

8 min read

The Slippage Ratio: A New Metric to Understand Curve.fi’s AMM Protocol
The Slippage Ratio: A New Metric to Understand Curve.fi’s AMM Protocol
Uniswap

8 min read

Pandichef

Pandichef

56 Followers

Creative Director at PandiFi

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