A note on trader Sharpe Ratios

Traders in the financial world are assessed by the amount of money they make and, increasingly, by the amount of money they make per unit of risk taken, a measure known as the Sharpe Ratio. Little is known about the average Sharpe Ratio among traders, but the Efficient Market Hypothesis suggests that traders, like asset managers, should not outperform the broad market. Here we report the findings of a study conducted in the City of London which shows that a population of experienced traders attain Sharpe Ratios significantly higher than the broad market. To explain this anomaly we examine a surrogate marker of prenatal androgen exposure, the second-to-fourth finger length ratio (2D:4D), which has previously been identified as predicting a trader's long term profitability. We find that it predicts the amount of risk taken by traders but not their Sharpe Ratios. We do, however, find that the traders' Sharpe Ratios increase markedly with the number of years they have traded, a result suggesting that learning plays a role in increasing the returns of traders. Our findings present anomalous data for the Efficient Markets Hypothesis.

Challenging the female underperformance hypothesis

Purpose – The question of whether female-owned firms underperform male-owned firms has triggered much research and discussion. Klapper and Parker's review concluded that the majority of prior research suggests that female-owned firms underperform relative to male-owned firms. However, using performance measures that control for size and risk (and after controlling for demographic differences such as industry, experience and hours worked) Robb and Watson found no gender performance difference in their sample of newly established US firms. The aim of this study, therefore, is to replicate Robb and Watson's study to determine whether their findings can be generalized to another geographical location, Australia. Design/methodology/approach – The authors test the female underperformance hypothesis using data from the CAUSEE project, a panel study which follows young firms over four years. They use three outcome variables: survival rates, return on assets and the Sharpe ratio. Findings – Consistent with Robb and Watson the results indicate that female-owned firms do not underperform male-owned firms. Originality/value – While replication studies are rare in entrepreneurship, they are an important tool for accumulating generalizable knowledge. The results suggest that while female-owned firms differ from male-owned firms in terms of many control variables (such as industry, owners' previous experience and hours worked) they are no less successful. This outcome should help dispel the female underperformance myth; which if left unchallenged could result in inappropriate policy decisions and, more importantly, could discourage women from establishing new ventures.

A robust optimization approach for index tracking problem

Index tracking is an investment approach where the primary objective is to keep portfolio return as close as possible to a target index without purchasing all index components. The main purpose is to minimize the tracking error between the returns of the selected portfolio and a benchmark. In this paper, quadratic as well as linear models are presented for minimizing the tracking error. The uncertainty is considered in the input data using a tractable robust framework that controls the level of conservatism while maintaining linearity. The linearity of the proposed robust optimization models allows a simple implementation of an ordinary optimization software package to find the optimal robust solution. The proposed model of this paper employs Morgan Stanley Capital International Index as the target index and the results are reported for six national indices including Japan, the USA, the UK, Germany, Switzerland and France. The performance of the proposed models is evaluated using several financial criteria e.g. information ratio, market ratio, Sharpe ratio and Treynor ratio. The preliminary results demonstrate that the proposed model lowers the amount of tracking error while raising values of portfolio performance measures.

The efficacy of the Sortino ratio and other benchmarked performance measures under skewed return distributions

This paper will investigate the suitability of existing performance measures under the assumption of a clearly defined benchmark. A range of measures are examined including the Sortino Ratio, the Sharpe Selection ratio (SSR), the Student’s t-test and a decay rate measure. A simulation study is used to assess the power and bias of these measures based on variations in sample size and mean performance of two simulated funds. The Sortino Ratio is found to be the superior performance measure exhibiting more power and less bias than the SSR when the distribution of excess returns are skewed.

Mixing colours: An ICT tool based on a semiotic framework for mathematical meaning-makng about ratio and fractions

This paper reports on the research and development of an ICT tool to facilitate the learning of ratio and fractions by adult prisoners. The design of the ICT tool was informed by a semiotic framework for mathematical meaning-making. The ICT tool thus employed multiple semiotic resources including topological, typological, and social-actional resources. The results showed that individual semiotic resource could only represent part of the mathematical concept, while at the same time it might signify something else to create a misconception. When multiple semiotic resources were utilised the mathematical ideas could be better learnt.

Mixing colours : an ICT tool based on a semiotic framework for mathematical meaning-making about ratio and fractions

This paper reports on the research and development of an ICT tool to facilitate the learning of ratio and fractions by adult prisoners. The design of the ICT tool was informed by a semiotic framework for mathematical meaning-making. The ICT tool thus employed multiple semiotic resources including topological, typological, and social-actional resources. The results showed that individual semiotic resource could only represent part of the mathematical concept, while at the same time it might signify something else to create a misconception. When multiple semiotic resources were utilised the mathematical ideas could be better learnt.

A preliminary investigation of the role of the Phenylalynine: Tyrosine Ratio in children with early and continuously treated phenylketonuria : toward identification of “safe” levels

Children with early and continuously treated phenylketonuria (ECT-PKU) remain at risk of developing executive function (EF) deficits. There is some evidence that a high phenylalanine to tyrosine ratio (phe:tyr) is more strongly associated with impaired EF development than high phenylalanine alone. This study examined EF in a sample of 11 adolescents against concurrent and historical levels of phenylalanine, phe:tyr, and tyrosine. Lifetime measures of phe:tyr were more strongly associated with EF than phenylalanine-only measures. Children with a lifetime phe:tyr less than 6 demonstrated normal EF, whereas children who had a lifetime phe:tyr above 6, on average, demonstrated clinically impaired EF.

Peak-to-average power ratio of IEEE 802.11a PHY layer signals

In this chapter we propose clipping with amplitude and phase corrections to reduce the peak-to-average power ratio (PAR) of orthogonal frequency division multiplexed (OFDM) signals in high-speed wireless local area networks defined in IEEE 802.11a physical layer. The proposed techniques can be implemented with a small modification at the transmitter and the receiver remains standard compliant. PAR reduction as much as 4dB can be achieved by selecting a suitable clipping ratio and a correction factor depending on the constellation used. Out of band noise (OBN) is also reduced.