TABLE 3
FROM:
Investing in emerging market local currency debt
Benoît Mercereau and Alexandra Lubomira Sowa
BACK TO ARTICLETable 3. Simulation's summary statistics, 2000–06
| Benchmark | Quantitative strategy | |
|---|---|---|
| Sharpe ratio | 1.08 | 1.20 |
| Average return (annual, in per cent) | 9.3 | 11.0 |
| Volatility (annual, in per cent) | 5.9 | 6.8 |
| Tracking error (annual, in per cent) | 1.7 | |
| Information ratio | 1.0 |