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)

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

Links for this article

http://www.ingentaconnect.com/pal/jam/2005/00000005/00000006/art00006
http://openurl.ingenta.com/content?genre=article&issn=1470-8272&volume=5&issue=6&spage=423&epage=427
http://dx.doi.org/10.1057/palgrave.jam.2240158