Search Results | Showing 1 - 10 of 14 results for "Sortino" |
| | | ... 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 ... |
| | | | ... 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 ... |
| | | | ... calculated a combined risk-adjusted rank for MySuper 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 ... |
| | | | ... three-year annualised returns of 10%, standard deviation of 11.9%, semi standard deviation of 8.8%, Sharpe ratio of 0.78, Sortino ratio of 1.1 and Omega Ratio of 1.95. If only headline returns had been considered, the BetaShares sustainable fund would ... |
| | | | ... ratios and measures, resulting in an integrated risk score. These include some of the well-known risk measures: the Sharpe, Sortino and Omega ratios. RMetrics also uses the gains-to-losses ratio and looks at the number of negative months and hit rate ... |
| | | | ... (annualized return in excess of the risk-free rate of return divided by the annualised standard deviation of returns) and Sortino ratios (uses semi-standard deviation rather than standard deviation) were also generally negative for around 25% of all ... |
| | | | ... 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 ratio of gains compared to losses). Energy Super ... |
| | | | ... return target (semi standard deviation), the return per unit of risk taken including for negative returns (Sharpe and Sortino Ratios), probability-weighted ratio of gains over losses for a given level of expected returns (Omega Ratio), pattern of returns ... |
| | | | ... crack the top 10 by combined risk adjusted rank - a ranking of funds' average percentile scores across the Sharpe, Sortino and Omega risk ratios. The retail fund achieved the highest three-year returns at 5.7%, and took the second risk-adjusted rank. ... |
| | | | ... performance across multiple time periods, volatility, downside risk, and multiple performance ratios such as Sharpe and Sortino. That same analytical process was applied to 20 other categories across six major asset class sectors. "The Investment Leadership ... |
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