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What is A Refinement To The Sharpe Ratio and Information Ratio about?

This document discusses a refinement to the Sharpe ratio and information ratio, particularly addressing their limitations during periods of negative excess returns. The author proposes modifications to the formulas to improve their reliability and ranking capabilities for mutual funds. The modified ratios provide a more accurate assessment of fund performance by adjusting for negative excess returns and tracking errors.

Author

Assis Duraes

Language

EN