The dHEDGE Leaderboard is aiming to rank the best managers at the top based on risk-adjusted returns. The default ranking of the Leaderboard is based on Score and is calculated as: Score = Sortino Ratio * SQRT(7 Day Average Pool Value) Sortino Ratio measures risk-adjusted returns and is calculated from the time of the funding of the pool and is annualised. The target return in the Sortino Ratio formula is set to 20%. The Sortino Ratio calculation has been modified to incorporate a pool's historical relative size. This means that more emphasis is put on performance figures when the total value of the pool is larger vs. smaller.
A pool's Risk Factor is a function of Downside Volatility, a measure used in the Sortino Ratio calculation. Risk Factor is 1 for a pool that has had very little Downside Volatility and 5 for a pool with high historical Downside Volatility. To calculate the Score and Risk Factor we require a history of minimum 28 days.
dHEDGE Leaderboard
Last modified 8mo ago
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