Comments on: Alternative Viewpoints: Using the Modified Sharpe & Information Ratios http://allaboutalpha.com/blog/2009/09/02/alternative-viewpoints-using-the-modified-sharpe-information-ratios/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Thu, 18 Mar 2010 13:53:53 +0000 http://wordpress.org/?v=abc hourly 1 By: Carvalho http://allaboutalpha.com/blog/2009/09/02/alternative-viewpoints-using-the-modified-sharpe-information-ratios/comment-page-1/#comment-208494 Carvalho Fri, 02 Oct 2009 07:22:22 +0000 http://allaboutalpha.com/blog/?p=5809#comment-208494 Not only in Hedge Funds. We are traditional managers and we also look at modified Sharpe Ratios and modified Information Ratios calculated from a VaR instead of a volatility. I believe it is now pretty standard in the industry to do so. Not only in Hedge Funds. We are traditional managers and we also look at modified Sharpe Ratios and modified Information Ratios calculated from a VaR instead of a volatility. I believe it is now pretty standard in the industry to do so.

]]> By: Peter Urbani http://allaboutalpha.com/blog/2009/09/02/alternative-viewpoints-using-the-modified-sharpe-information-ratios/comment-page-1/#comment-199765 Peter Urbani Thu, 03 Sep 2009 02:28:15 +0000 http://allaboutalpha.com/blog/?p=5809#comment-199765 Yes useful metric, but I think the more common use of the term 'Modified' Sharpe (at least in Hedge Fund land) applies to the the use of the Cornish Fisher modified VaR metric as the denominator as in: http://www.edhec-risk.com/site_edhecrisk/public/research_news/choice/RISKReview1086931259500349198 http://www.andreassteiner.net/performanceanalysis/?External_Performance_Analysis:Risk-Adjusted_Performance_Measures:Modified_Sharpe_Ratio Yes useful metric, but I think the more common use of the term ‘Modified’ Sharpe (at least in Hedge Fund land) applies to the the use of the Cornish Fisher modified VaR metric as the denominator as in:

http://www.edhec-risk.com/site_edhecrisk/public/research_news/choice/RISKReview1086931259500349198

http://www.andreassteiner.net/performanceanalysis/?External_Performance_Analysis:Risk-Adjusted_Performance_Measures:Modified_Sharpe_Ratio

]]> By: nick gogerty http://allaboutalpha.com/blog/2009/09/02/alternative-viewpoints-using-the-modified-sharpe-information-ratios/comment-page-1/#comment-199751 nick gogerty Thu, 03 Sep 2009 01:44:31 +0000 http://allaboutalpha.com/blog/?p=5809#comment-199751 Neil, nice article on Sharpe. You may want to mention the variability/stability in variance over time and the role inflation (risk free) rate assumptions could play in future performance analysis. If we are in for inflation or deflation the rules of the game from an allocators perspective could change as some S&P benchmark gets kicked out or adjusted relative to a real vs. nominal return. Neil, nice article on Sharpe. You may want to mention the variability/stability in variance over time and the role inflation (risk free) rate assumptions could play in future performance analysis. If we are in for inflation or deflation the rules of the game from an allocators perspective could change as some S&P benchmark gets kicked out or adjusted relative to a real vs. nominal return.

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