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Showing 1 - 7 of 7 results for "Sharpe ratios"

High performance funds significantly underperform: Research

ALLY SELBY  |  FRIDAY, 11 SEP 2020
... (measured by semi-standard deviation), was also high due to the negative returns seen in February and March. Three year Sharpe ratios (annualized return in excess of the risk-free rate of return divided by the annualised standard deviation of returns) ...

Mastering the art of ignoring crises

MARK SMITH  |  MONDAY, 29 AUG 2016
... which are uncorrelated to the market and each other and are carefully designed to feature a mix of skew profiles and Sharpe ratios. The key is to risk manage these exposures so that they deliver investors a constant level of volatility, thereby softening ...

Multi-factor investing applies to credit too: Robeco

MARK SMITH  |  TUESDAY, 10 MAY 2016
... Cheaper bonds, for instance, tend to mean revert just as cheaper equities do. Triple A-rated bonds tend to have higher Sharpe ratios than BB-rated bonds, just has higher quality stocks tend to have higher Sharpe ratios than more cyclical stocks. Rebeco ...

New alternative beta fund answers hedge fund short-comings

MARK SMITH  |  MONDAY, 23 NOV 2015
... explained CFM International president Philippe Jordan. "What's interesting is that these factors, which have similar Sharpe ratios to the growth factor, are very different in when they work. If you have a sufficient amount of factors which have low correlations ...

Beware high correlations: AQR

MARK SMITH  |  FRIDAY, 6 JUN 2014
... rewarded," Kabiller said. According to the alternatives specialist, funds with good returns in all markets, high Sharpe ratios (a measure of risk/adjusted return) and low correlations to equity markets will serve investors well. "We believe in the tried ...

Janus manager launches insto volatility funds

MATT WOODINGTON  |  TUESDAY, 11 OCT 2011
... returns above its respective cap-weighted benchmark at "significantly lower levels of absolute volatility and higher Sharpe Ratios." A more aggressive option is the Managed Volatility strategy, which chases higher returns above the benchmark. These new ...

Returns stats should show impact of advice

ALEX DUNNIN  |  THURSDAY, 7 AUG 2008
... proposed that the APRA performance statistics include standard deviation metrics calculated on a quarterly basis and Sharpe ratios. The report is available on IFSA's website in the What's Hot section.
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