Learning objectives: Calculate, compare and interpret the following performance measures: the Sharpe performance index, the Treynor performance index, the Jensen performance index, the tracking error, information ratio, and Sortino ratio.
20.9.1. The riskfree rate is 3.0% and the...
Risk-adjusted performance measures (RAPMs) include Treynor and Jensen's, both of which are functions of the CAPM/SML, and the Sharpe ratio, which can be understood in the context of the CML.
David's XLS: https://trtl.bz/2EIIb6j