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.
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.