NOT THE SHARPEST TOOL IN THE BOX : A quantitative study of the reliability of the Sharpe ratio in a Bear market
Our thesis was conducted through quantitative research on the validity of the Sharpe ratio as a performance measure in bear market conditions. Previous research had identified problems with mismatches in ranking due to Sharpe ratios rewarding unsystematic risk in funds. Alternative Sharpe ratios ha...
| Main Authors: | , |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Umeå universitet, Handelshögskolan vid Umeå universitet
2010
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-38537 |