To test the Sharpe Ratio’s effectiveness, we constructed monthly return distributions for global stock market indices to see if any had too much skewness.
At the recent CFA Institute Global Investment Risk Symposium, Ron Ryan, CFA, of Ryan ALM, appealed for greater transparency and the application of commonsense principles in pension accounting, warning that without such changes the solvency of corporations, cities, and states is at stake.
According to Carl Bacon, CIPM, chairman of StatPro, active investment managers must understand the “what, why, and how” of their past performance in order to effectively manage their current clients’ portfolios.
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