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John Waggoner: These Foreign Funds Have The Highest Sharpe Ratios

TedTed
in The Bullpen
FYI: Nobel Prize winner William Sharpe developed the Sharpe index as a way to determine risk-adjusted portfolio returns. It uses excess return and standard deviation to determine reward per unit of risk. The higher the Sharpe ratio, the better the fund’s risk-adjusted returns.

Since international funds have been shining lately, we decided to look at the funds that have had the best Sharpe ratios the past five years. While they may not be the best in absolute returns, they have given shareholders superior returns, considering the risks they take. Here, then, are the best foreign Sharpe shooters in the Morningstar database. Each fund has the highest Sharpe ratio in its Morningstar category
Regards,
Ted
http://www.investmentnews.com/gallery/20170915/FREE/915009998/PH/these-funds-have-the-highest-sharpe-ratios

1. Pear Tree Polaris Foreign Value Small Cap

2. WisdomTree International Small-Cap Dividend ETF

3. Oppenheimer International Small-Mid Company

4. Fidelity International Small Cap

5. Hartford International Value I

6. WisdomTree International Equity ETF

7. AdvisorShares Dorsey Wright ADR ETF

8. Morgan Stanley International Opportunities

9. First Trust Dev. Mkts. Ex-US AlphaDEX ETF

10. Goldman Sachs International Equity Insights
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