Batting Average and Win-Loss Ratio Applications

Over the last few years, managers have sought more robust and persistent measurements than simple returns to manage their assets. Returns are not persistent over time, and are strongly linked to market fluctuations. They just don’t provide insights into the fundamental characteristics of the investment process itself. This is why, lately, two measurements are used more often to link the performance of the fund to investment decisions: Batting Average (BA) and Win-loss ratio (WLR).

The aim of this article is to apply these metrics against a set of relevant funds. Specifically, we’ll study how these portfolio metrics change as a function of the number of positions held by the fund. We’ll see that funds with fewer positions exhibit higher standard variations in the WLR. Moreover, they seem to be capable of reaching higher BA levels.

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What's in the report?

  • Analysis of Batting Average and Win-Loss Ratio
  • Application of these metrics against world-class funds
  • detailed figures showing effect of increasing positions