This company sold part of its business to the Royal Bank of Scotland. The ABN SEC 11-K filing for 12/31/2006 was used to identify the funds in the scan. There was no fund with a positive 5yr Sharpe ratio so a uniform distribution was posted for this scan. There was one fund with a zero Sharpe ratio, NIVAX, but a very high STD. The best Sharpe ratio portfoio found in the scan had a negative Sharpe ratio. When many more than 1000 portfolios were searched the scanner eventually found a portfolio with virtually all the money in NIVAX and a near zero Sharpe ratio.
*******************************
A Balanced portfolio rule change to cover this situation was made and the resulting portfolio is shown in the 3D image. It allocates money to funds with positive 5yr APRs based on the ratio of their APR/STD which amounts to saying their Sharpe ratios are all zero. The portfolio has a slightly lower APR than NIVAX but a much lower STD.
No comments:
Post a Comment