n South African Actuarial Journal - Articles in other journals

Volume 5, Issue 1
  • ISSN : 1680-2179


Extracted from text ... ARTICLES IN OTHER JOURNALS INVESTMENT ANALYSTS JOURNAL McLeod W & Van Vuuren G (2004). Interpreting the Sharpe ratio when excess returns are negative. IAJ 59, 15-20 Whilst one of the aims of good fund management remains the active selection of those funds with the largest Sharpe ratio, the aim of this article is to introduce an alternative interpretation and definition of this procedure. The standard view suggests that superior funds are those having larger Sharpe ratios, i.e. the higher excess returns per unit of risk. The authors show that, in fact, the choice should be based on the maximum probability ..

Loading full text...

Full text loading...


Article metrics loading...


This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error