Questioning Conventional Wisdom on Risk and Return


This Pzena Investment Management, LLC (“Pzena”) podcast is a historical recording and is intended solely for informational purposes. The views expressed reflect the views of Pzena Investment Management (“PIM”) as of the date recorded and are subject to change. Neither the speaker nor PIM undertake to advise you of any changes in the views expressed therein. There is no guarantee that any projection, forecast, or opinion in this material has been or will be realized. Past performance is not indicative of future results. All investments involve risk, including risk of total loss.

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