Sharpe - Rp-Rf/Sd of portfolio Treynor - Rp-Rf/Beta Information ratio= Rp-Rbenchmark/Sd(Rp-Rb) Sortino Ratio = Rp-MAR/downside deviation of portfolio Safety First Ratio = Rp-MAR/SD of portfolio Utility adjusted return = Rf-0.005(RA score)(variance of portfolio) M2= Rf+ (Rp-Rf)*Sd of market/Sd of portfolio RoMAD = Rp/Maximum drawdown completes the list…??
ex-post alpha (jensen’s) = Return - CAPM expected return. uses sml as a benchmark.
ever seen a situation or example when downside deviation needs to be derived?
Risk Adjusted Retrun on Capital-Return on Capital at Risk
ERIQNOODLE–Yes there is an example from the practice problems from Reading 37…volume 5, page 120…question 12A. However, i don’t see an LOS that says “derive or compute.” However, as you know, it does say in the preface to the texts that"Frequently, an exam. quest. is also tied to a specific…end of reading question/problem and its solution." Good luck.
William Sharpe and Jack Treynor hated each other, look it up
WELL, cfai text has an example calculating the downside deviation in detail but i am still to look at it
Anyone know why/how Sortino allows for “optionality”? (i.e. don’t use sharpe for derivatives, use Sortino) Perhaps due to the open definition of MAR? Perhaps due to taking out RFR?
MoenL3, sortino uses downside deviation, which considers optionality (no normal distribution is required).
Thanks tom18606… I guess that is an “option” - the option to take only the negative returns in the stdev calc. , or maybe to take into account derivatives that may lead to fat tails? (fyi -this was on a CFAI sample exam… but so was a lot of stuff)