- Sharpe ratio is a risk-adjusted measure of performance developed by William F. Sharpe, also known as the reward-to-volatility ratio. The Sharpe ratio is the slope of the Capital Allocation Line, which is the line tangent to the efficient frontier of risky asset and defines the combination of the tangency risk portfolio and the risk-free asset.
- Name % Sortino Ratio 20 Years-0.42: Sortino Ratio 1 Year-1.51: Sortino Ratio 20 Years-0.42: Batting Average 15 Years: 27.22: Information Ratio 20 Years-0.23
- In summary, when Beta equals 0.5 the cumulated PNL or return is 2.4, the daily mean geometric return is 0.027, the daily minimum return is -0.25. In other words, when Beta = 1.5 the Cumulated PnL or Return is higher than when Beta = 0.5, or 1 with a minimum with target 15% of 5.24. The benchmark model remains larger for Beta 1.5.
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