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R11.P1.T1 Recently Developed Risk-Adjusted Return Measures?

gprisby

Active Member
Thread starter #1
Hello,

I don't see the section of reading #11 "Recently Developed Risk-Adjusted Return Measures" in the notes or video. Are these just not something we should focus on? Its in the same section as the Treynor/Sharpe/Jensen/TE/IR formulas, which I consider something I need to memorize. I just don't see anything on the recently developed measures. There are lots of formulas, etc in this section of the GARP text and wanted to see why its not in the notes. I don't want to kill myself understanding these measures if its not warranted.

Thanks!
Greg
 

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
#2
Hi Greg (@gprisby ) Years ago, we did include that section, but they aren't "recently developed" anymore, given this reading is 15 years old (e.g., I'm a Morningstar subscriber and they have updated their methodology in the meantime as you might expect). But that's not the reason we stopped including it. The reasons are:
  1. It's never been on GARP's radar to our knowledge, and
  2. Similarly, the LOs below do not include any of it:
Notice the narrow specificity of the LOs (a decade ago there were more LOs, but they were trimmed):
  • Calculate, compare, and evaluate the Treynor measure, the Sharpe measure, and Jensen’s alpha.
  • Compute and interpret tracking error, the information ratio, and the Sortino ratio
I hope that helps!
 
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