Abstract
To achieve higher returns, we have to take on more risk. In this chapter, we demonstrate how to calculate various commonly used risk-adjusted portfolio performance measures, which allows us to rank different investments by their risk-return profile. These include the Sharpe ratio, Roy’s safety first ratio, Treynor ratio, among others.
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Ang, C.S. (2021). Risk-Adjusted Portfolio Performance Measures. In: Analyzing Financial Data and Implementing Financial Models Using R. Springer Texts in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-64155-9_6
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DOI: https://doi.org/10.1007/978-3-030-64155-9_6
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