Questioning Conventional Wisdom on Risk and Return

 

July 8, 2020

We think average 10-year returns present a fair picture of investment skill. But how to measure risk? The Sharpe ratio compares long-term returns with short-term volatility (standard deviation of monthly returns); we see the standard deviation of our 10-year returns as a better measure. Rich Pzena and Bill Lipsey provide a deep value perspective on risk and return.

Questioning Conventional Wisdom on Risk and Return
PzenaPerspectives

 
 
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