27 June 2017: Sharpe ratio

The Sharpe ratio is a way to examine the performance of an investment by adjusting for its risk. It is calculated by dividing the excess average return of an asset through its standard deviation. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return. A Sharpe ratio of 1 is considered to be good, a Sharpe ratio of 2 very good.
These Dutch Guys put the members of The Chapel Family to the test and calculated the Sharpe ratio of Danny, Anny, Suzy and Larry. The yearly returns over a period of 22 years acted as the basis for the calculation. The 20 Year Treasure Rate for each year was used in determining the yearly excess average return.
It turned out that Anny has the highest Sharpe ratio: 1.48. The Sharpe ratios of Suzy (1.12) and Larry (1.09) are considerably lower, but still better than good. Danny’s Sharpe ratio scores lowest: 0.99. It looks like Anny is able to find the sweet spot of our investment strategy: she combines a relatively high level of return with a relatively low level of risk. We will add the Sharpe ratios to the individual pages of our models to make these pages even more informative.

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The Dow closed in the green on Monday after four daily losses: +0.07%. The S&P 500 also moved up: +0.03%. The NASDAQ had to take a step back, however: -0.29%. Volatility eased, with the VIX closing below 10 points at 9.90. UVXY ETFs closed more than 4% lower and XIV ETNs gained more than 2%.
Danny Daredevil was the biggest loser of the day: his RSS dropped to 318%. Danny is still positive for the year, but he is having a hard time since the end of May with many daily losses. Adventurous Anny is holding cash, so her RSS remained at 40%. It took Solid Suzy and Lazy Larry quite some time to take the 20%-barrier, but within ten sessions these models have now taken the next hurdle of 30%. Their RSS closed at 30.52% yesterday.
None of our models gave a trading signal at the end of yesterday’s session.

Model Holds Start date

RSS

YTD

QTD

AAR

Danny Daredevil UVXY 1 January 2016

317.54%

3.58%

-10.93%

161%

Adventurous Anny Cash 6 March 2017

40.21%

40.21%

15.13%

198%

Solid Suzy XIV 6 March 2017

30.52%

30.52%

19.17%

136%

Lazy Larry
XIV 6 March 2017

30.52%

30.52%

19.17%

136%

RSS = Return Since Start | YTD = Year-To-Date | QTD = Quarter-To-Date | AAR = Average Annual Return

 

As part of a visit to the city of Utrecht with a group of some 130 alumni of Tilburg University, Tim went to an exposition on Maria in Museum Catharijneconvent. This museum is devoted to the present and past of Christianity in the Netherlands and is housed in a beautiful medieval monastery. Before the visit to the museum, a group of professors of the Tilburg School of Catholic Theology each gave a short introduction to their favorite piece of the Maria exhibition. Frank Bosman, a Roman-Catholic cultural theologian, gave his vision on the statue below, Pietà by Casper Berger. The most striking feature of this piece of art is the absence of Maria’s face. This enables an even stronger identification of the viewer with the figure of Maria.