A ratio that estimates the performance of an asset after risk adjustments. This ratio is an improved version of its earlier counterpart by eliminating the normal distribution factor and accounting for skewed distribution. The higher the ratio, the lower the volatility of the asset.
Related information about modified Sharpe ratio:
- Modified Sharpe Ratio
Risk Adjusted Return, Sharpe Ratio, Sortino Ratio, Analytics, Risk Measures.
- Modified Sharpe Ratio Definition | Investopedia
A ratio used to calculate the risk-adjusted performance of an asset or a business strategy. The modified Sharpe ratio is a version of the original Sharpe ratio ...
- The Capital Spectator: Modified Sharpe Ratio: A Partial Solution?
Dec 6, 2011 ... Modified Sharpe Ratio: A Partial Solution? ... Note that in all cases the modified Sharpe ratio is lower than its traditional Sharpe ratio ...
- Calculate the Modified Sharpe Ratio with Excel
This Excel spreadsheet calculates the Modified Sharpe Ratio. The standard Sharpe Ratio is only appropriate for normally-distributed returns, where the entire ...
- Sharpening the Sharpe Ratio - FinancialCounsel.com
ER Modified Sharpe Ratio1 = -------- SD (ER/abs ER) ER = Excess Return (where : Excess ... Regular and Modified Sharpe Ratio under "Normal" conditions ...
- Modified Sharpe Ratio: Definition from Answers.com
Modified Sharpe Ratio A ratio used to calculate the risk-adjusted performance of an asset or a business strategy. The modified Sharpe ratio is a.
- What is modified Sharpe ratio? definition and meaning
Definition of modified Sharpe ratio: A ratio that estimates the performance of an asset after risk adjustments. This ratio is an improved version of its earlier ...
- R: calculate a modified Sharpe Ratio of Return over VaR or ES
A number of papers now recommend using a "modified Sharpe" ratio using a Modified Cornish-Fisher VaR as the measure of Risk. We have recently extended ...