"When you look at mutual funds that have Sharpe ratios
of 0.35, that is crazy risky -- but no one seems to remember 2008."
Consequently, Goldman Sachs believes that this view is supportive of the Egyptian local bond market in 2019, which they think will provide one of the highest Sharpe ratios
in the emerging markets space.
To test whether there are trading strategies that could profitably exploit the observed differences in stock returns around these shocks, the researchers compared Sharpe ratios
for a buy-and-hold strategy and a monetary momentum strategy for various event windows around the FOMC meetings.
To calculate the Sharpe ratios
for each portfolio, the excess historical average monthly returns over the Selic rate for the same month were used, divided by the average monthly volatility, as shown in Table 6.
LOCB has outperformed peers on a risk-adjusted basis, with lower drawdowns and higher Sharpe ratios
over three and five years, which is consistent with its investment objectives.
He used the usual performance measures, the Sharpe, Treynor ratios and Jensen Alpha in addition to the adjusted Sharpe Ratios
, Modigliani measure and time and selectivity ability.
We find that Sharpe ratios
of the shorter maturity portfolios are higher than those of longer maturity portfolios.
It is worth mentioning that, by applying the second momentum-weighted approach, we were able to appreciate an almost linear pattern, where the risk adjusted returns improved until a 12-level concentration (or 60% of the total amount invested in the 12 highest momentum stocks), obtaining for both selection criteria (and 12/0/2 months) average annualized returns of 8.97% and 12.40% with a volatility of 27.16% and 25.00%, leading Sharpe ratios
of 0.32 and 0.49, respectively.
The main ratio characteristics presented in Table 3, despite the fact that both Treynor and Sharpe ratios
combine the reward and risk, Treynor ratio evaluates fund's reward related with the risk and contrary to the Sharpe ratio
, this indicator evaluates systemic and not the general portfolio risk.
Lai, "Conditional sharpe ratios
," Finance Research Letters, vol.
"Incredibly, research suggests that poor market timing driven by retail mutual fund flows lowers mutual fund Sharpe ratios
by 17% and accounts for approximately 70% of the total underperformance of mutual funds relative to passive benchmarks."
Portfolio performance evaluation with generalized sharpe ratios
: Beyond the mean and variance.