Refining the Sharpe Ratio

$25.00

By modifying the denominator, the author shows how the Sharpe Ratio can provide a more intuitive risk/return assessment of investment products during periods of negative excess return.

Author: Craig L. Israelsen, Ph.D., Brigham Young University

By modifying the denominator, the author shows how the Sharpe Ratio can provide a more intuitive risk/return assessment of investment products during periods of negative excess return.

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The Journal of Performance Measurement

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