Risk-Adjusted Portfolio Performance Measures

Clifford S. Ang
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Clifford S. Ang: Compass Lexecon

Chapter Chapter 6 in Analyzing Financial Data and Implementing Financial Models Using R, 2021, pp 185-195 from Springer

Abstract: 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.

Date: 2021
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DOI: 10.1007/978-3-030-64155-9_6

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