By: RajeshPandai

RajeshPandai — Mon, 08 Aug 2011 11:42:14 +0000

May I suggest you use the Omega Ratio instead of the Sharpe Ratio to track hedge fund performance. The Omega Ratio contains all the information in the returns distribution (and does not approximate it like the Sharpe Ratio). Bear in mind that the Omega Ratio also acts as a downside-risk measure (as does the Sortino Ratio). There’s an Excel spreadsheet you can use the calculate the Omega Ratio here: http://investexcel.net/219/calculate-the -omega-ratio-with-excel/

By: FredDinnage

FredDinnage — Thu, 26 May 2011 03:20:27 +0000

The Sharpe Ratio has a number of limitations. One not mentioned above is that it treats downside and upside volatility with the same disdain. Most investors don`t mind upside volatility, however. There`s a summary of the other limitations here: http://optimizeyourportfolio.blogspot.co m/2011/05/sharpe-optimal-portfolio-with- excel.html

By: JamesChirico

JamesChirico — Sun, 15 May 2011 11:59:44 +0000

The first ever steep decline in house prices was preceded by America’s first ever multi year rise more than 3 times the previous decades average. Homes doubled in price from 2000 to 2006. That was allowed to happen, while at the same time the traditional bank holding a long term mortgage turned into a casino with CDO, GSE, derivative products with brokers, Wall St. and banks taking a large commission selling garbage rated AAA by companies they paid. 40% of mortgages sold in 2006 were not primary residences, a record. Subprime, sub A % doubled from 2003-2006 while products with these mortgages continued to get AAA rating. Bank mortgage defaults were not any problem when price rise covered most of the loss. The congress, executive and Fed. pumped borrowed against equity, unqualified bad credit borrower mortgages into the economy for a fake growth and tremendous bubble. Shady approval rose to an all time high 2005-6. Fannie/Freddie approved almost half the subprime mortgages made even worse when that 50% share of bad paper became close to 70% dumping the Countrywide type dung into their portfolio. After gov’t got control Fannie/Freddie needed 153 billion to stay alive or create another mortgage crisis. From Carter to 2003 they helped America, but the snakes at the top looking for major bonuses went from traditional to GSE type paper to cash out. Then in 2007 Goldman/Chase purposely used oil future bidding at nominal 5% of total, with no intention of contracting to suppliers to raise oil to $140, making gas prices set a record to burst the bubble and cash out. Goldman made bilions on their short position. Without TARP most banks would have been taken over by Chase, with the Goldman agents Bernanke and Geithner bailing out the big boys, even foreign banks (AIG) to cover Goldman’s position. Geithner held regional banks to high reserve retention while they were getting killed by mortgage defaults. The result was many going under in numbers not seen since the Great Depression, zeroing out FDIC (which had to increase rates), while Chase and the big boys picked up bargain assets from bankruptcy liquidations. I can’t fathom why the GOP wants less regulation, when the taxpayers have been played suffering for politicians and bankers being in bed. Obama is no better than Bush with window dressing financial regulation, no Glass-Steagall, and most important no Hunt Bros. type prosecution for market manipulation.

By: johnwerneken

johnwerneken — Fri, 13 May 2011 21:28:46 +0000

makes good sense.

Comments on: Hedge fund metric could answer Volcker Rule riddle

By: RajeshPandai

By: FredDinnage

By: JamesChirico

By: johnwerneken