Did You Know? | How to view Risk-Adjusted Return Ratios in APM

Arbor’s Hedge Fund Risk Management System allows you to view a variety of metrics to assess the level of risk taken on with your investments. These metrics include:

Sharpe Ratio
Shows you the excess portfolio return over a risk-free rate, relative to its standard deviation. A higher value denotes a greater level of risk-adjusted return.

Sortino Ratio
Also shows how much greater the portfolio’s return is, but relative to level of added negative risk being taken on. This differs from the Sharpe ratio in its isolation of negative volatility from total overall volatility.

Treynor Ratio
A further ratio showing reward-to-risk, but calculating risk through volatility, as measured by market volatility (beta). The other 2 metrics instead use standard deviation.

Other performance statistics that are available include: Out Performance, Jensen’s Alpha, Tracking Error, Information Ratio, and more.

How to view these metrics:

You can view these metrics in either:

  • Portfolio Summary
  • Reports

To find out more about our Hedge Fund Risk Management System, these ratios, and further performance statistics that are available on our system, head to our Risk page here.

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