FRM: Risk-adjusted performance ratios

[@bionicturtle]

@OO0000OO The IR numerator is alpha (residual return). Here as the ratios are CAPM-based, I am using Jensen's alpha = Portfolio return - riskfree - beta*MRP; i.e., a generalization where alpha is the regression intercept.

[@marcosjaime7249]

Dear Sir: VVery grateful through his channel.

[@WalterZelhofer]

If you assume no risk-free asset, the m^2 measure simplifies to: rp*(sigma_market/sigma_portf)-rm

[@albertbeccu]

Usually for modelling purposes, the expected return in these examples are probably the average return of a time period.

[@janeyap8977]

Thanks u so much for showing how to solve the information ratio.. U are a life saver.

[@axe863]

In order for one to be robust to the non-ergodicity and functionally varying regularity==> use a multifractional nonergodicity robust sharpe ratio. MFNER-Sharpe= {[E(Rp)- sigma^2*abs(t)^(2*H(t)-1)*{H(t)+H'(t)*ln(t)*t}] -riskfree rate}/ sqrt(2*sigma^2*abs(t)^(2*H(t)-1)*{H(t)+H'(t)*ln(t)*t})

[@stankmaw]

This is a great video, really helped me a lot.

[@dewsification]

I have a question. is treynor index, sharpe, and alpha-jensen applied in Fama and French model? if yes, whether the formula remain the same? thanks

[@voodooman08]

@bionicturtledotcom i'm not criticizing, i really want to know, can't find any other way than assuming subjective probabilities of future possible outcomes and finding mathematical expectation.

[@OO0000OO]

The numerator of IR seems not equal to the Jensen alpha. There is no Beta involved in IR.

[@WalterZelhofer]

What I meant to say was, the risk free rate is 0. I usually make this assumption since it rarely makes a difference and I'm too lazy to download t-bill data :)

[@bionicturtle]

@voodooman08 in a video, you can't cover too many topics at once

[@gimoroemma]

This is gonna make me pass in 5 days :p

[@voodooman08]

Watching all these videos about portfolio optimization no one is telling how to count expected return of an asset. You all are making too much assumptions, which contradict with real life experience.