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...
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...
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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...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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