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Journal Article

A refinement to the Sharpe ratio and information ratio

  • Israelsen C
Journal of Asset Management (2005) 5(6) 423-427
DOI: 10.1057/palgrave.jam.2240158
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Abstract

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

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APA

Israelsen, C. (2005). A refinement to the Sharpe ratio and information ratio. Journal of Asset Management, 5(6), 423–427. https://doi.org/10.1057/palgrave.jam.2240158

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