Adjusted Sharpe Ratio Aug 2, 2012 | GlossaryAdjusted Sharpe Ratio (ASR) explicitly adjusts for skewness and kurtosis by incorporating a penalty factor for negative skewness and excess kurtosis.
Sharpe Ratio May 31, 2012 | GlossaryThe Sharpe ratio is a measure of excess return (i.e. return of the portfolio minus risk-free rate) per unit of standard deviation of portfolio return. Where: Rp = Portfolio Return Rf = Risk free rate σp = Standard deviation of portfolio...
