Money Management used FE Analytics to look at the Sharpe ratios of Australian broad caps from 31 August last year to 31 August 2018 and found the best and worst funds for risk-adjusted returns.
SG Hiscock, Bennelong, Macquarie, Ganes Capital, DDH Graham and Cooper Investors are fund managers that have continued to find themselves in Money Management’s good books for their consistent outperformance of benchmarks and relatively low FE Risk Scores, and this is no exception.
Sitting top of the bunch, the SGH Australia Plus fund is the best fund for risk-adjusted returns, with a Sharpe ratio of 1.77, where the average Sharpe ratio of all Aussie broad caps is 0.79 and the S&P ASX 200 index has a Sharpe ratio of 0.77.
Bennelong Concentrated Australian Equities sits second with a Sharpe ratio of 1.72, Macquarie Australian Shares is third with Sharpe ratio of 1.49 and Ganes Value Growth and DDH Selector Australian Equities are equal fourth with a Sharpe ratio of 1.4.
CI Brunswick sits bottom of the top five with a Sharpe ratio of 1.37 but has the lowest volatility of the five funds with 7.44 per cent, where the index is 11.79 per cent.
SGH Australia Plus is similarly in the top decile for volatility with 9.2 per cent, followed by Ganes Value Growth at 10.2 per cent and Macquarie Australian Shares at 11.2 per cent.
The chart below shows the performance of the top five funds as compared to the ASX200...