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Risk
Risk-Adjusted Return
Return scaled by risk (Sharpe, Sortino, Information ratio)
Definition
Risk-adjusted returns account for volatility and risk taken. Sharpe ratio divides excess return by volatility. Sortino focuses on downside deviation. Information ratio compares active return to tracking error.
Related Topics
#performance measurement
#volatility adjustment
#risk management
#portfolio evaluation
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Related Terms
Category: Risk
Risk management involves identifying, assessing, and controlling potential losses in investment portfolios.
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