Man FRM Early View

May 2017

MAN FRM

In hedge fund land we use the ‘Sharpe ratio’ to quickly assess the quality of an investment. It is calculated as the return from the investment, in excess of interest rates, divided by the variability of that return. Higher is clearly better. In late May the 5yr annualized Sharpe ratio of the S&P 500 Total Return Index exceeded 1.5. In other words, over the last five years US Equities paid you 15.3% per year to bear an annualized monthly volatility of returns of 9.9%. Over the...

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