Ep. 336: David Dredge on Sharpe Ratio Fallacy, Capturing Upside and Managing Uncertainty

David Dredge is the Chief Investment Officer of Convex Strategies, which is an agnostic value investor in volatility. David has over 30 years’ experience managing risk across global markets. Prior to launching Convex Strategies, David served as a Managing Director and Portfolio Manager at Artradis Fund Management in Singapore, where he was responsible for the fixed income aspects of their volatility strategy. Earlier in his career, David built and ran Asian and Global EM trading businesses for RBS (ABN AMRO Group), Bankers Trust, and Bank of America. He currently sits on the Monetary Authority of Singapore Markets Committee (SFEMC). In this podcast, we discuss:

• Why expected returns and Sharpe ratios mislead investors.
• Volatility drag and the value of protection.
• Positive convexity and long volatility.
• Endogenous risk and uncertainty.
• The volatility supply chain.
• Current macro fragilities.
• Historical echo.
• Books mentioned: Introduction to Ergodicity Economics (Ali Peters), The Elder Companion to Herbert Simon, The Great Demographic Reversal (Charles Goodhart)

You can follow David’s work here.

You can also watch the podcasts on YouTube: Ep. 336: David Dredge on Sharpe Ratio Fallacy, Capturing Upside and Managing Uncertainty

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