sharpe ratio
Rp-Rf/SDp
reward to risk, total
the sharpe ratio is a ___ that focuses on __ risk
risk free return
Rp-Rf (Sharpe ratio) stands for
sharpe ratio
this measures investment performance as the ratio of portfolio risk premium over portfolio return standard deviation
treynor ratio
this measures investment performance as the ratio of portfolio risk premium over portfolio beta
treynor ratio
Rp-Rf/BETAp
systemic, total
the difference between the treynor ratio and the sharpe ratio is that the treynor ratio looks at ___ risk, not __ risk
Jensen's alpha
this measures investment performance as the raw portfolio return less the return predicted by the capital asset pricing model
beta
this graphs the relationship between the return of an investment and the return of the market or benchmark
predicted, market
beta gives us the __ movement in return of the stock for a given movement in the ___
tracking error
measures the volatility of the funds returns relative to tis benchmark
r squared
a portfolios or securitys squared correlation to the market or benchmark
-1 to 1, 0 to 100%
correlation ranges from __ but r square ranges from __
betas can vary depending on where the info comes from
the alpha Jensen and the treynor require the beta and this can be problematic because