Investors want to know not only what return was achieved, but what level of risk was taken to achieve the return. Learn about some of the most widely used risk-adjusted measures.
Risk-Adjusted Performance Measures
The Sharpe Ratio and the Information Ratio (PDF)
The Sharpe ratio and the information ratio are routinely used in performance assessment; they are among the original risk-adjusted performance measures.
Measures of Risk-Adjusted Return: Let’s Not Forget Treynor and Jensen (PDF)
The Treynor ratio and Jensen’s alpha are risk-adjusted performance measures that isolate the portion of a portfolio’s return explained by its sensitivity to market risk.
The Sortino Ratio: Is Downside Risk the Only Risk that Matters? (PDF)
The Sortino ratio complements other measures of downside risk.
Risk-Adjusted Performance Measures: A Case Study (PDF)
This article explores the surprising insights investors can learn by applying some of the most common risk-adjusted performance measures in a case study that compares the performance history of two fixed-income funds.