1. Here we look at the risk-adjusted performance across asset classes for the past one, three, five and ten years. The calculations that underlie this analysis use monthly data sourced from Bloomberg. Excess return is taken to be the annualised return of the asset class for the relevant period above the risk free rate which is calculated using the UK 6 Month LIBOR total return index. Volatility is the standard deviation of monthly excess returns. For all asset classes apart from Investment Grade Credit and High Yield Bonds, total return indices are used to calculate the absolute returns. For Investment Grade and High Yield, interest rate hedging is assumed and the excess return over swaps is used for the excess return.

  2. We have looked at the performance of a variety of relevant asset classes for investors.

    Analysis across 1 year, 3 year, 5 year and 10 year time frames produces some noticeable results.

    So if you’re looking for attractive Sharpe ratios, the long term vs short term returns enclosed make for interesting reading.

    So which were the winners and losers?

  3. Here we look at the risk-adjusted performance across asset classes for the past one, three, five and ten years.

    The calculations that underlie this analysis use monthly data sourced from Bloomberg. Excess return is taken to be the annualised return of the asset class for the relevant period above the risk free rate which is calculated using the UK 6 Month LIBOR total return index.

    Volatility is the standard deviation of monthly excess returns. For all asset classes apart from Investment Grade Credit and High Yield Bonds, total return indices are used to calculate the absolute returns. For Investment Grade and High Yield, interest rate hedging is assumed and the excess return over swaps is used for the excess return.

  4. We have looked at the performance of a variety of relevant asset classes for investors.

    Analysis across 1 year, 3 year, 5 year and 10 year time frames produces some noticeable results.

    For example, just 3 out of 13 asset classes produced a positive return over cash in the past year. Over 10 years, a surprising asset delivered the highest Sharpe Ratio (with almost double the excess return and less than half the volatility of Developed Market Equities).

    So which were the winners and which were the losers?

  5. We have looked at the performance of a variety of relevant asset classes for investors.

    Analysis across 1 year, 3 year, 5 year and 10 year time frames produces some noticeable results.

    So if you’re looking for attractive Sharpe ratios, the long term vs short term returns enclosed make for interesting reading.

    So which were the winners and which were the losers?

  6. While it’s been a good twelve months for UK linkers, the same cannot be said for many other asset classes.

    Just 4 of 15 posted positive returns.

    In this publication we look at a variety of different asset classes. Analysis across 1 year, 3 year, 5 year and 10 year time frames produce some noticeable results.

    So if you’re looking for attractive Sharpe ratios, the long term vs short term returns enclosed make for interesting reading.

  7. Do you know which assets delivered the highest risk-adjusted return in Q2? See how major asset classes performed in the latest edition of Risk-Adjusted Return. 

    Using the Sharpe Ratio, this publication details the Risk-Adjusted Return figures for a variety of different asset classes over 1-year, 3-year, 5-year, and 10-year time frames, and provides a useful basis upon which to evaluate their value and aptness for inclusion in an investment strategy.