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Showing 11 - 20 of 31 results for "Sharpe ratio"

Investment Leadership Awards finalists revealed

JAMIE WILLIAMSON  |  WEDNESDAY, 22 JAN 2020
... by a quantitative methodology that equally weights six-year performance factors with five key risk measures; the Sharpe ratio, Sortino ratio, Omega ratio, standard deviation of monthly returns, semi-standard deviation and sum of negative returns. The ...

Industry funds dominate risk-adjusted MySuper returns

HARRISON WORLEY  |  FRIDAY, 6 DEC 2019
... comes to providing risk-adjusted returns in MySuper products, producing a risk-adjusted return of 9.3% p.a. and a Sharpe ratio - the amount of returns per unit of risk - of 2.0 over a three-year period to the end of September. Sunsuper, Cbus, Media Super ...

US manager eyes Aussie retirement income

KANIKA SOOD  |  WEDNESDAY, 30 OCT 2019
... Index. It's shares component has a lower standard deviation (volatility) than the MSCI World Index but a lower sharpe ratio than it. In the past the problem has been explaining the product to superannuation funds, where equity heads and fixed income ...

Best-performing funds with least risk

KANIKA SOOD  |  TUESDAY, 18 JUN 2019
... or downside deviation (measure of the volatility of returns that fall below a return target). The other three were Sharpe ratio (a popular return per unit of risk measure), Omega ratio (probability-weighted ratio of gains over losses for a given level ...

Finalists unveiled for FS Investment Leadership Awards

KANIKA SOOD  |  FRIDAY, 11 JAN 2019
... that. We then weight factors such as absolute volatility, downside volatility and performance ratios such as the Sharpe ratio, Sortino ratio and the Omega ratio," he said. "In some categories where there is a clear and appropriate benchmark we incorporate ...

2018 Financial Standard Investment Leadership Awards

JOHN DYALL  |  FRIDAY, 22 DEC 2017
... average cash rate for the past three years. The risk measures used within the Investment Leadership Awards are: - Sharpe ratio - the ratio of the three year return less the risk free rate of return and the three year monthly annualised standard deviation. ...

Mastering the art of ignoring crises

MARK SMITH  |  MONDAY, 29 AUG 2016
The promise of outsized - but very infrequent - returns in financial markets can, like casinos, lead investors to trade in ways that destroys their wealth. That's the view of Capital Fund Management president Philippe Jordan who says investors who get ...

Multi-factor investing applies to credit too: Robeco

MARK SMITH  |  TUESDAY, 10 MAY 2016
Building on the current interest in multi-factor investing in equity markets, Robeco is now designing bespoke multi-factor credit solutions for institutional clients in Australia. In this low growth, low interest rate world, factor investing is being ...

Robeco fund added to HUB24 platform

ALEX BURKE  |  THURSDAY, 10 DEC 2015
... quantitative method based on award-winning research, which exploits the low-risk anomaly - aiming to maximise the sharpe ratio."

New alternative beta fund answers hedge fund short-comings

MARK SMITH  |  MONDAY, 23 NOV 2015
... correlations to one another, you can achieve the portfolio effect - the only true free lunch in finance - and your aggregate Sharpe ratio can go up from 0.4 to 0.8." By combining these strategies in a portfolio and implementing them efficiently with ...