What's new

Nicole Seaman

Staff member
Subscriber
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

Last edited:

Maxim Rastorguev

Member
Subscriber
Concerning the learning spreadsheet on RAPMs, the page called simulated information ratio (see the picture). I wonder why you choose the formula (rho)*Z(1) + sqrt(1-rho^2)*Z(2) to simulate return for Portfolio return? what is the logic behind this formula?