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Fix some minimum acceptance excess rate ![]() Information RatioDefinition. Information Ratio ![]() ![]() ![]() Note. Widely recognized Sharpe Ratio is a particular case of information ratio corresponding to ![]() Sortino RatioDefinition. Sortino Ratio ![]() ![]() ![]() ![]() Normalized Sortino RatioDefinition. Normalized Sortino Ratio, corresponding to ![]() Under the assumptions of the analytical model, the normalized Sortino ratio coincides with information ratio. STARR RatioDefinition. STARR Ratio is equal to the difference between expected excess growth rate ![]() ![]() Normalized STARR RatioDefinition. Normalized STARR Ratio (NSTARR) is the STARR ratio, corrected in such a way that in case of normally distributed logarithmic returns it coincides with information ratio. where ![]() Definition. Normalized CVaR is a measure, based on CVaR, corrected in such a way that under the assumptions of the analytical model it coincides with volatility measure. where ![]() ![]() Under the assumptions of the analytical model, all above performance measures are equivalent when used to sort the list of available portfolios according to their investment attractiveness. Otherwise, because of the properties of downside volatility and CVaR respectively, the Sortino Ratio and the STARR ratio might become more relevant measures of performance. Standard performance measures vs. their instantaneous counterpartsBelow we focus on the Sharpe ratio, but the same logic holds true for all other performance measures, presented above. Definition. Sharpe Ratio ![]() Definition. Instantaneous Sharpe Ratio ![]() Both the Sharpe ratio and the instantaneous Sharpe ratio sort assets according to their relative performance in the past. However, there is an essential distinction in the information the corresponding rankings reflect.
as separate alternative investments, thus depriving the investor of the continuous rebalancing advantages. For further details see [Nielsen, Vassalou; 2004]. |
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