by admin | Dec 28, 2009 | GIPS, Global Investment Performance Standards, risk, risk-adjusted return, Sharpe ratio, Standard Deviation
Standard deviation is a much misunderstood measure, in spite of its common use. First, is it a risk measure? It depends on who you ask. It’s evident that Nobel Laureate Bill Sharpe considers it to be one, since it serves this purpose in his eponymous...
by admin | Sep 25, 2009 | GIPS, risk, Sharpe ratio, Standard Deviation
Okay, so the decision has been made: effective January 2011, GIPS compliant firms must report a 36-month annualized standard deviation, on an annual basis (that is, for all years starting with 2011). Further clarity is in order. First, is standard deviation risk?...
by admin | Jul 15, 2009 | risk, Sharpe ratio
In our newsletter I’ve commented on the perceived problem with negative Sharpe ratios: that the results appear to be counter intuitive. When excess returns are positive, if the portfolio did a better job of managing risk, it will show a higher Sharpe ratio;...
