Search Results | Showing 1 - 10 of 31 results for "Sharpe ratio" |
| | ... alternative assets, the global investment giant said 60/40 forecast returns can be increased by 60 basis points and the Sharpe ratio (which compares the return of an investment with its risk) can be improved by about 12%. "As investors navigate a world ... |
| | | ... 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 ... |
| | | ... 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 ... |
| | | ... options, incorporating their average percentile scores in Sharpe, Sortino and Omega risk ratios to December end. Sharpe ratio is a measure of return per unit of risk; Sortino ratio is returns per unit of downside risk; and Omega ratio is probability-weighted ... |
| | | ... years in a row. QSuper said this test needs to use better benchmarks and risk-adjusted returns (adding volatility, Sharpe ratio). "The asset class benchmarks may be constraining, and we suggest broadening the adopted benchmarks to better align with a ... |
| | | ... deviation or downside deviation (measure of the volatility of returns that fall below a return target). It also looked at Sharpe ratio (a popular return per unit of risk measure), Omega ratio (probability-weighted ratio of gains over losses for a given ... |
| | | New research from Rainmaker Information has found that high performance Australian equity funds significantly underperformed their benchmark over the three years to June 2020. The median high performance fund underperformed its benchmark by 300 basis ... |
| | | ... had the lowest volatility of any MySuper offering. WA Super returned 5.6% per annum, and was ranked first for the Sharpe ratio (returns per unit of risk), third for the Sortino ratio (returns per unit of downside risk) and first for the Omega ratio (the ... |
| | | ... performance category, Australian Unity Platypus Australian Equities Fund had the best annualised return (8.7%) and Sharpe Ratio (0.4) and Omega Ratio (1.6). Lazard's Defensive Australian Equity Fund was the best on volatility with the lowest standard ... |
| | | ... 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 ... |
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