SSRN-Sharpening Sharpe Ratios by William Goetzmann, Jonathan Ingersoll, Matthew Spiegel, Ivo Welch

SSRN-Sharpening Sharpe Ratios by William Goetzmann, Jonathan Ingersoll, Matthew Spiegel, Ivo WelchMeasuring fund manager performance is not as easy as it sounds. Sure you know the basic measures: Sharpe Ratio, Treynor measure, and Jensen's alpha.Sharpe: (Return-Risk Free)/ Standard DeviationTreynor: ( Return-Risk Free)/ Beta)Jensen's Alpha: Return = RF + Beta (Market Risk Premium) + AlphaBut