Mira Road Memorable Call Grls Number-9833754194-Bhayandar Speciallty Call Gir...
Risk-Adjusted Return: Quarterly Update 2012 Q4
1. Economics Nobel Laureate William F. Sharpe developed the Sharpe ratio to measure risk-adjusted
investment return. The Sharpe ratio allows us to evaluate the performance of an asset in terms of
risk as well as excess return generated.
Risk-Adjusted Return: Quarterly Update
R Rf
Rf
2012 Q4
2. RISK ADJUSTED RETURNRISK ADJUSTED RETURNRISK ADJUSTED RETURN
ONE YEAR 30/12/2011 - 30/12/2012
Over this 1-year period, 7 of the top 8 best Sharpe ratios have been in fixed income, the exception
being Risk Parity. On an excess return basis, Emerging Market Equities performed 3rd and 5th best
respectively. When measured on a risk-adjusted basis, they drop to 8th and 9th in our table.
*See appendix for a list of benchmarks & definitions.
3. RISK ADJUSTED RETURNRISK ADJUSTED RETURNRISK ADJUSTED RETURN
THREE YEAR 30/12/2009 - 30/12/2012
Over this 3-year period, 8 of the top 9 best sharpe ratios have been in fixed income, the exception
being Risk Parity. Emerging Market Equities and Developed Market Equities performed compara-
tively well when measured by excess return, however on a risk-adjusted basis they fall towards the
bottom end of the chart.
*See appendix for a list of benchmarks & definitions.
4. RISK ADJUSTED RETURNRISK ADJUSTED RETURNRISK ADJUSTED RETURN
FIVE YEARS 30/12/2007 - 30/12/2012
Over this 5-year period, only 8 out of the 13 asset classes delivered positive excess returns, 7 of
which were in fixed income and the other was Risk Parity. Leveraged Loans US, Emerging Market
Equities, HF Macro, Developed Market Equities and Commodities saw returns below the risk free
rate over the period.
RISK ADJUSTED RETURNRISK ADJUSTED RETURNRISK ADJUSTED RETURN
*See appendix for a list of benchmarks & definitions.