Sortino ratio: related pages
Alpha (Jensen's alpha, portfolio alpha)
The alpha of a security or fund is its out-performance over the risk adjusted return, with risk measured by beta.
Beta
Beta is a measure of the correlation between the value of a security and the market. Beta is used to calculate discount rates for CAPM.
Abnormal return
The excess of actual return over the level of return that would be expected given the riskiness of a portfolio.
Excess return
The amount by which the return on an investment is greater than the risk free rate of return.
Treynor index
A risk adjusted return metric; excess return divided by portfolio beta. Suitable for measuring the performance of fund managers.
Copyright Graeme Pietersz © 2005-2019
