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Showing 11 - 14 of 14 results for "Sortino"

Investment Leadership Awards finalists revealed

JAMIE WILLIAMSON  |  WEDNESDAY, 22 JAN 2020
... 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 asset ...

Finalists unveiled for FS Investment Leadership Awards

KANIKA SOOD  |  FRIDAY, 11 JAN 2019
... 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 a beta-adjusted ...

2018 Financial Standard Investment Leadership Awards

JOHN DYALL  |  FRIDAY, 22 DEC 2017
... three year monthly annualised standard deviation. This ratio is the gold standard for calculating risk-adjusted returns. - Sortino ratio - this is a variant of the Sharpe ratio in that it rewards upside investment returns but penalises downside investment ...

Industry awards top hedge funds in 2009

MICHELLE BALTAZAR  |  FRIDAY, 18 SEP 2009
... Investment Management Association (AIMA), the winners were judged based on their absolute returns over varying time periods, Sortino ratios and rates of performance drawdown and recovery. This year's awardees and finalists are: Australian Hedge Fund ...
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