H
BestScopePeriodSample%ChangeS&P500
1
+GlobalYearTop 25
22.78%
13.93%
-GlobalMonthLast 5
-12%
0.41%
5
+GlobalYearTop 25
23.83%
13.31%
-IndustryMonthLast 25
-9.27%
0.78%
A
+GlobalYearTop 5
52.62%
15.14%
-IndustryYearLast 10
-13.76%
15.14%

Burke Ratio

Similar to the Sterling ratio, the Burke ratio discounts the expected excess return of the security by the square root of the average of the worst expected maximum drawdowns squared for that portfolio. We are using 3-years of returns, monthly samples and the SPY index as a benchmark.



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