Economics Nobel Laureate William F. Sharpe developed the Sharpe ratio to measure risk-adjustedinvestment return. The Sharpe ratio allows us to evaluate the performance of an asset in terms ofrisk as well as excess return generated.Risk-Adjusted Return: Quarterly UpdateR RfRf2012 Q4
RISK ADJUSTED RETURNRISK ADJUSTED RETURNRISK ADJUSTED RETURNONE YEAR 30/12/2011 - 30/12/2012Over this 1-year period, 7 of the top 8 best Sharpe ratios have been in fixed income, the exceptionbeing Risk Parity. On an excess return basis, Emerging Market Equities performed 3rd and 5th bestrespectively. When measured on a risk-adjusted basis, they drop to 8th and 9th in our table.*See appendix for a list of benchmarks & definitions.
RISK ADJUSTED RETURNRISK ADJUSTED RETURNRISK ADJUSTED RETURNTHREE YEAR 30/12/2009 - 30/12/2012Over this 3-year period, 8 of the top 9 best sharpe ratios have been in fixed income, the exceptionbeing 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 thebottom end of the chart.*See appendix for a list of benchmarks & definitions.
RISK ADJUSTED RETURNRISK ADJUSTED RETURNRISK ADJUSTED RETURNFIVE YEARS 30/12/2007 - 30/12/2012Over this 5-year period, only 8 out of the 13 asset classes delivered positive excess returns, 7 ofwhich were in fixed income and the other was Risk Parity. Leveraged Loans US, Emerging MarketEquities, HF Macro, Developed Market Equities and Commodities saw returns below the risk freerate over the period.RISK ADJUSTED RETURNRISK ADJUSTED RETURNRISK ADJUSTED RETURN*See appendix for a list of benchmarks & definitions.