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Adjusted Sharpe Ratio

Adjusted Sharpe Ratio (ASR) explicitly adjusts for skewness and kurtosis by incorporating a penalty factor for negative skewness and excess kurtosis.  

Sharpe Ratio

The 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...