September 23, 2011 | Stephen Berei
I think this statistic is one that may not be so popular, but could prove to be very useful. The statistic is a measure of risk-adjusted excess return first introduced by Richard C. Marston in 2004.
 
What is risk-adjusted excess return?
The premise behind using risk-adjusted return is to ensure that we compare apples to apples versus apples to oranges. When comparing the manager versus benchmark, we do not take into account the risk...
May 12, 2011 | Marc Odo

In the wake of the recent credit crisis there has been a lot of discussion around the idea of tail risk, i.e. rare, but extreme and traumatic events. We believe one of the best ways to analyze tail risk is to use the Omega ratio developed by Con Keating and William Shadwick. Simply put, Omega measures the count and the scale of observations above a minimum accepted return (MAR) and contrasts them with the count and scale of...