A refinement to the Sharpe ratio and information ratio

Abstract

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

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Israelsen, C. A refinement to the Sharpe ratio and information ratio. J Asset Manag 5, 423–427 (2005). https://doi.org/10.1057/palgrave.jam.2240158

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Keywords

  • Sharpe ratio
  • information ratio
  • negative excess returns
  • tracking error