all Risk-adjusted stuff

Risk - Adjusted Measures - all I could find in CFAI Utility adjusted return: Up = Rp – 0.5 *A*(STDp^2 ), (A is usually from 0-10) Roy’s Safety First Ratio: SF = ( Rp – Rmin)/ STDp Sharpe Ratio: SR = ( Rp – Rf)/ STDp Sortino Ratio: ( Rp – Rmin)/ STDp(downside) M2: M2 = Rf + [(Rp – Rf)/ STDp] *STDm Jensen’s: (Rp – Rf) = a + b*(Rm – Rf) Treynor measure: T = (Rp – Rf) / b Information Ratio: IR = (Rp – Rb)/ STD(p-b) = a/ STD(a) = IC*(Depth)^1/2 RAROC = Exp ROI / CapRiskMeasure, CapRiskMeasure may be anything RoMAD = Rp / Max Drawdown, Drawdown = HighWM - Subsequent Low Anything else missed ?

on the 1st one, if you’re using Rp and STD as 9% (vs .09) then 0.5 needs to be .005.

I know, I decided to not mess up my mind even more and to go with decimals only :wink:

Bump