Posts Tagged: sharpe ratio

Hedge funds have never looked so good! Global hedge funds under management now stand at an all-time high of $2.66 trillion with 2013 accounting for over $360 billion in capital inflow. Institutional investors are flocking to hedge funds in ever greater numbers and increased regulations are bringing about a wave of change in the industry. With the right technology partner, hedge fund managers can not only meet the increased demand for transparency but also stand out from competition to gain more business and build more trust. Read more…

In this white paper, Carl Bacon CIPM, Chairman of StatPro,discusses ranking portfolios in order of preference with the Sharpe ratio but then why it is difficult to judge the size of relative performance. The solution is converting the Sharpe ratio to a metric we are more comfortable using; risk-adjusted return. M2 fits the bill. Read more…

The Sharpe ratio is a measure of excess return (i.e. return of the portfolio minus risk-free rate) per unit of standard deviation of portfolio return. Where: Rp = Portfolio Return Rf = Risk free rate σp = Standard deviation of portfolio returns Read more…

Any discussion on risk-adjusted performance measures must start with the grandfather of all risk measures the Sharpe Ratio or Reward to Variability which divides the excess return of a portfolio in excess of the risk free rate by its standard deviation or variability. Read more…