Search Results | Showing 11 - 20 of 32 results for "Sharpe ratio" |
| | | ... March 2020, thanks to a 4.6% p.a. three-year return, the lowest minimum monthly return at -6%, and the equal highest Sharpe ratio at 0.6. The industry fund shared the equal top Sharpe ratio with Australian Ethical, which was the only retail super fund ... |
| | | | ... 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 ... |
| | | | ... 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 ... |
| | | | ... 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 ... |
| | | | ... 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 ... |
| | | | ... 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 ... |
| | | | ... 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. ... |
| | | | 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 ... |
| | | | 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 ... |
| | | | ... quantitative method based on award-winning research, which exploits the low-risk anomaly - aiming to maximise the sharpe ratio." |
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