Risk and Returns

[Jimbob47]

My starting point when comparing Investment Trusts is to look at the Sharpe ratio, a measure of the return versus risk.

Trustnet is an invaluable source but it shows the ratio for individual ITs, rather than a group. Investors’ Chronicle has sometimes shown comparisons but I am not sure if this is a regular feature.

Does any member know how to find (or produce) a table for all (or a selection) of IT Sharpe ratios?

And does any member have experience of using other ratios to compare risk v. returns?

[Newroad]

Hi Jimbob47.

Sorry I can't help you with your query.

I take it you are interested in calculating the combined Sharpe Ratio for your portfolio (or any arbitrary hypothetic portfolio)?

Regards, Newroad

[Jimbob47]

Hi Newroad

Thank you for your reply.

I want to compare Sharpe ratios for individual Investment Trusts, rather than calculate the ratio for my own portfolio.

Trustnet published a valuable chart and table in September 2018 but, so far as I can see, it has not been repeated. The information is all there on a trust-by-trust basis but it is a chore to pull it together and keep it updated.

[mc2fool]

I want to compare Sharpe ratios for individual Investment Trusts, rather than calculate the ratio for my own portfolio.

Trustnet published a valuable chart and table in September 2018 but, so far as I can see, it has not been repeated. The information is all there on a trust-by-trust basis but it is a chore to pull it together and keep it updated.

Maybe I missing something of what you want, but sounds like what you need is to just add each IT you want to a watchlist in Trustnet, and then look at the watchlist.

Sharpe is shown, by default in the last column I think, and if not you can click "Customise this table" and add it.

If you want to look at lots you can view their entire listing of IT (496 of them), filtered by sector/geography/asset class/etc/etc and click on My Custom Tab and then customise columns to add sharpe and whatever else you'd like.

[baldchap]

Just google 'Numis securities data sheet' and an xls is available for download.

[Jimbob47]

Thank you both for your helpful replies.

At first glance, either of your suggestions would fit the bill. I’ll get to work.

Regards