Difference between Sharpe's ratio, Treynor's ratio and Jense - 【CFA学习难点答疑解惑】 - CFA论坛

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发表于 2013-8-9 09:36 | 显示全部帖子

From what i gather…
Sharpe measures excess return over total risk (std dev of portfolio)
Treynor mesaures excess return over market (beta)
Jensens Alpha measures excess over CAPM expected return

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