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RaisePartner e-news May 08

Sharpe ratios that stand up to the crisis

This month, we focus on the dynamics of the performances achieved by the RP Quant Global Macro Index over the past months. We pay a particular attention to the stability of its Sharpe ratio despite the recent market changes.

Our Quant corner looks into the concept of asymmetry in fund and portfolio design: how can quantitative tools help Asset Managers introduce some asymmetry in the behavior of their strategy?


	RaisePartner provides software components and web services for investment professionals. Through our customized solutions for portfolio optimization and risk analysis, our goal is to help our clients enhance their investment process by bringing together the best of quantitative and qualitative approaches.

RP Quant Global Macro Index

ACHIEVING STABLE SHARPE RATIOS

Robust portfolio optimization and dynamic risk modeling are at the source of stable performances and persistent return/risk ratios, especially in the case of brutal market changes.

The RP Quant Global Macro index achieves a very stable Sharpe ratio that remains larger than 1 despite the very unstable periods the markets underwent these past months.

learn more

The Quant Corner

Asymmetry
Asymmetry is at the heart of an Asset Manager’s preoccupations: any investor wants to be positively exposed to bullish markets while controlling the impact of bearish market conditions.This keen interest of investors explains the growing succes ... read more

RP Market Watch

			19-May-2008 \| CPI: an optical illusion? Since the publication of the lower than expected American CPI (Consumer Price Index), the dollar has been entering a new bearish cycle. But this could be seen as an impulsive reaction of the market: indeed, a refined analysis of the inflation dynamics shows that inflation is greatly accelerating. The CPI that was published last week is estimated based on an aggregation of recent and older data, going back to spring 07, before the rise in co [...]

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Latest newsletters

Sharpe ratios that stand up to the crisis

RP Quant Global Macro Index

The Quant Corner

RP Market Watch

CPI: an optical illusion?