Optimising omega

Performance measurement that accurately reflects the goals of fund investors and managers has long been a topic of active discussion. Most modern performance measures differ from classical ones (such as the Sharpe ratio) in two key ways: they reflect the market practice of assessing performance against a benchmark, and they account for the asymmetry in returns distributions by separately considering upside and downside.

Click Here To Download PDF

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: