Skip to main content
Disciplines
Automotive Business IT + Informatics Construction + Real Estate Electrical Engineering + Electronics Energy + Sustainability Insurance + Risk Finance + Banking Management + Leadership Marketing + Sales Mechanical Engineering + Materials
Events
DE
EN
Books
Journals
Topic Page
Marketing
Start single access now
Access for companies
EXTENDED SEARCH
Log in
Top
Published in:
Prices Read chapter Read first chapter

2021 | OriginalPaper | Chapter

6. Risk-Adjusted Portfolio Performance Measures

Author : Clifford S. Ang

Published in: Analyzing Financial Data and Implementing Financial Models Using R

Publisher: Springer International Publishing

Log in

Activate our intelligent search to find suitable subject content or patents.

search-config
loading …

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.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

inform now
previous chapter Factor Models
next chapter Markowitz Mean–Variance Optimization
Literature
1.
Elton, E., Gruber, M., Brown, S., & Goetzmann, W. (2010). Modern portfolio theory and investment analysis (8th ed.). Hoboken: Wiley.
2.
Gregoriou, G., Hubner, G., Papageorgiou, N., & Rouah, F. (2005). Hedge funds: Insights in performance measurement, risk analysis, and portfolio allocation. Hoboken: Wiley.
3.
Maginn, J., Tuttle, D., Pinto, J., & McLeavey, D. (2007). Managing investment portfolios: A dynamic process (3rd ed.). Hoboken: Wiley.
4.
Tran, V. (2006). Evaluating hedge fund performance. Hoboken: Wiley.
Metadata
Title
Risk-Adjusted Portfolio Performance Measures
Author
Clifford S. Ang
Copyright Year
2021
Book
Analyzing Financial Data and Implementing Financial Models Using R

Print ISBN: 978-3-030-64154-2

Electronic ISBN: 978-3-030-64155-9

Copyright Year: 2021

DOI
https://doi.org/10.1007/978-3-030-64155-9_6