A Jigsaw Puzzle of Basic Risk-adjusted Performance Measures
$25
In this article the authors present a jigsaw puzzle of basic risk-adjusted performance measures, which helps to better understand the key links between these measures. In doing so they include the market risk-adjusted performance (MRAP). While closely related to the Modigliani measure, the MRAP measures returns relative to market risk instead of total risk. Thus, the MRAP is suitable for investors who invest in many different assets.
Author: Hendrick Scholtz, Ph.D. and Marco Wilkens, Ph.D.
In this article the authors present a jigsaw puzzle of basic risk-adjusted performance measures, which helps to better understand the key links between these measures. In doing so they include the market risk-adjusted performance (MRAP). While closely related to the Modigliani measure, the MRAP measures returns relative to market risk instead of total risk. Thus, the MRAP is suitable for investors who invest in many different assets.
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