Sharpe Ratio and RAPAM

Sharpe Ratio has appeared in 1) SS13, Hedge Fund Performance Evaluation: How to game Sharpe ratio 2) SS14, Risk-Adjusted Performance: Sharpe Ratio, RoMAD, … 3) SS17, Three Times: a) Hedge Fund Benchmark: Sharpe Ratio, Value-added Return(Rv), Separate L/S. b) Risk Adjusted Performance Appraisal Measures(RAPAM): Treynor, Sharpe Ratio, … c) Global Performance Measures: Information Ratio, Information Ratio,… So, the Sharpe Ratio is most popular Ratio in L3 curriculum. To help me to memorize RAPAM: – Jensen’s [Alpha] and Treynor [Measure] are Twins; both like Beta. – Sharpe [Ratio] and Modigliani [M2: mom] are from another family; both like Sigma. We know what’s Beta; we know what’s Sigma. We have learned SML/CML in L1. So if we know where the four come from, our lives become easier. :smiley:

RAPAM?

He has his own weird set of abberviations… Is he meaning “…” in the AM?

quick whats M2?

too easy pimp, give me something harder

Risk Adjusted Performance Appraisal Measures(RAPAM): Treynor, Sharpe Ratio, … Hey, guys. It’s just a simple Acronym to save typing…CFAI has made it too long. Apologize for it. Seriously, no use of Acronym in real exam. We’re in L3, and we all know it.

http://en.wikipedia.org/wiki/Modigliani_Risk-Adjusted_Performance

lol