Sharpe ratio
The Sharpe ratio efficient frontier
We evaluate the probability that an estimated Sharpe ratio will exceed a given threshold in the presence of nonnormal returns. We show that this new uncertainty-adjusted investment skill metric (called...
Farid AitSahlia Warrington College of Business Administration, University of Florida Risk-adjusted performance measures are generally considered to be appropriate for use in the evaluation of different...
Trading strategies that follow trends, or market momentum, result in positively skewed distribution of trading returns. Strategies that are linear in the factors driving the momentum have been studied...
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More Sharpe ratio articles
A proof of the optimality of volatility weighting over time
We provide a proof that volatility weighting over time increases the Sharpe ratio or the information ratio. The higher the degree of volatility smoothing achieved by volatility weighting, the higher the risk-adjusted performance. Our results apply to...
Momentum trading: ’skews me
An attractive characteristic of momentum strategies is that they generate a distribution of trading returns that is positively skewed. This can mean fewer winning than losing trades, but still positive expected returns. Richard Martin and David Zou derive...
Indexes of indexes can deliver lower volatility and increased exposure...
An index based on other indexes can offer institutional investors sophisticated strategies and retail investors easier access to capital-protected products in difficult structuring conditions, say index firms
Optimal design of volatility-driven algo-alpha trading strategies
Guido Giese derives a model for the performance and risk analysis of algorithmic investment strategies that invest in a mixed portfolio of the equity and money markets. It is based on a frequent rebalancing algorithm that responds to changes in volatility...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
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