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Journal of Asset Management

, Volume 5, Issue 6, pp 423–427 | Cite as

A refinement to the Sharpe ratio and information ratio

  • Craig Israelsen
Paper

Abstract

By modifying the denominator, both the Sharpe ratio and information ratio provide correct rankings during periods of negative excess returns.

Keywords

Sharpe ratio information ratio negative excess returns tracking error 

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Copyright information

© Palgrave Macmillan 2005

Authors and Affiliations

  • Craig Israelsen
    • 1
  1. 1.Department of Home and Family Living2055, JFSB, Brigham Young UniversityProvoUSA

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