In This Edition:
– A brief history of performance ratios
By Simon Taylor, Consulting Editor
– Greek alphabet soup and risk-adjusted performance
By Arun Muralidhar, Chairman, Mcu
In This Edition:
– A brief history of performance ratios
By Simon Taylor, Consulting Editor
– Greek alphabet soup and risk-adjusted performance
By Arun Muralidhar, Chairman, Mcube Investment Technologies, LLC and Managing Director, FX Concepts, Inc.
– ‘Sharper’ Risk Adjusted Performance Measures (RAPMs): from Omega to AIRAP
By Milind Sharma, Director and Senior Proprietary Trader, Deutsche Bank.
-The case for the Omega function
By Con Keating, Financial Analyst, Finance Development Centre.
– Maximum drawdown of active currency indices
By Emmanuel Acar & Amy Middleton, Bank of America
– Funds of funds are still providing alpha
By Jean-François Bacmann & Pierre Jeanneret, Quantitative Analysis Group, RMF Investment Management,
– HFR fund of funds performance analysis
– References and further reading