Life at Sharpe's End

If you saw that a well-known Commodity Trading Advisor (CTA) was in a Top 20 CTA table with returns of 44.1% during the year 2000, you would probably think that CTA did a great job for his or her investors, right?

Author(s):

Hilary Till

Principal of Premia Capital Management, LLC; and Research Associate, EDHEC Risk and Asset Management Research Centre

But what if that CTA's Sharpe ratio was also .19? (This is a real example.) For futures programs, the meaning of rate-of-return numbers can be somewhat ambiguous, given that one does not need to set aside capital in the amount of a program's funding level. Instead, an investor can fractionally fund an account using notional funding.
Pdf
Life at Sharpe's End...
(-1.00 B)
Type: Working paper
Date: le 03/09/2001
Extra information : Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

See Also

EDHEC - Risk’s annual European ETF and Smart Beta Survey results show growing demand for new developments in existing Smart Beta offerings
News
- 20-09-2018
EDHEC-Risk Institute has announced the results of the 11th EDHEC European ETF and Smart...
5 tips to kick-off your MBA successfully as an international student
News
- 18-09-2018
Whether your ambition is to boost your career, learn the latest in leadership, expand...
Asset Pricing Conference: Major Advances, Nobel Prize and Eminent experts
News
- 12-09-2018
EDHEC Business School, the Fama-Miller Center at Chicago Booth, and the Review of...
Riccardo Rebonato speaking on smart beta fixed income at 14th Quantitative Finance Conference
News
- 10-09-2018
Riccardo Rebonato, Professor of Finance, EDHEC Business School and Member, EDHEC-Risk...