Smallcap momentum portfolio

[ChaitanyaC]

Some additional information, which you may find helpful.

Quant Investing

@SwapnilK89 Hi Swapnil, Sharpe ratio is a risk adjusted return measure. Basically you try to ascertain how much additional return you are getting above the risk free rate for the risk being taken. Where risk is calculated based om the standard deviation. I have two issues with this ratio: It considers both upside and downside performance as the same. It considers standard deviation is risk You can look at Sortino ratio which is better than Sharpe ration because it takes care of my objectio…