A refinement to the Sharpe ratio and information ratio

Author: Israelsen, Craig

Source: Journal of Asset Management, Volume 5, Number 6, 1 April 2005 , pp. 423-427(5)

Publisher: Palgrave Macmillan

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Abstract:

By modifying the denominator, both the Sharpe ratio and information ratio provide correct rankings during periods of negative excess returns.Journal of Asset Management (2005) 5, 423-427; doi:10.1057/palgrave.jam.2240158

Document Type: Research article

DOI: 10.1057/palgrave.jam.2240158

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