Performance Evaluation 2: Adjusting for Total, Systematic, and Idiosyncratic Risk

Описание к видео Performance Evaluation 2: Adjusting for Total, Systematic, and Idiosyncratic Risk

In this second lecture in a series on the evaluation of investment performance, we discuss the Sharpe ratio as a total-risk-adjusted performance measure, the Treynor ratio as a systematic-risk-adjusted one, and the Information ratio as an idiosyncratic-risk-adjusted one. Each have their specific uses.

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