Manager Builds a Better Metric

The manager of a statistical-arbitrage fund has developed a measure of risk-adjusted returns that more accurately reflects the risks of investing in hedge funds than the widely used Sharpe ratio. Logica Capital, a Los Angeles firm with $15 million under management, has shared its “skill metric” with several dozen institutional investors in the past week, telling them it offers a truer picture of a fund’s risk-adjusted performance than commonly used measures including the Sharpe and Sortino ratios. A well-known deficiency of the Sharpe ratio is that it doesn’t adequately capture the risks of portfolios whose return distributions are negatively skewed — an indicator of downside volatility. Tha

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Because of the stay-at-home order and related effects of COVID-19, Logica was unable to meet the original filing deadline for its ADV, and relied on the SEC CV-19 order to file by the extended deadline.

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