losses. Many a time a manager may appear expert on a reward-to-systematic-risk basis but unskilled on a reward-to-total-risk basis. The Treynor ratio depends upon beta which depicts the sensitivity of an investment to movements in the market to evaluate the risk. A cross sectional view of Bitcoin hodlers over time, shows demand and supply from new and old hodlers. Managers, average Annual Return.
Bitcoin, risk, adjusted, returns vs Other Assets : Woobull Charts Bitcoin is so volatile its risk - adjusted return
In short, it is also a reward-volatility ratio, just like the Sharpes ratio, but with just one difference. We look at them in detail below #1 Sharpes Ratio (Risk Adjusted Return). Thus, Jensens Alpha.4.5-4).4*.9.1 Given, the Beta.4, the fund is expected to be risky than the market index and thus earn more. This is one of the fundamental loopholes that most experts point out. On the other hand, a fully diversified portfolio will be ranked identically according to the two ratios. The Sortino ratios for both funds would be calculated as: Mutual Fund X Sortino (15.5) /.56 Mutual Fund Z Sortino (12.5) /.18 #6 Modigliani Risk Adjusted Performance Also known as Modigliani-Modigliani measure or M2, it is used for arriving. It has taken its share of inspiration from the widely accepted Sharpe Ratio, however, has the significant advantage of being in units of percent return, which makes it easier to interpret. One consensus that appears to be arising in the literature is the fact that cryptos tend to not correlate with other assets, making them very useful in a portfolio for diversification purposes.