Kampe, Cristina - In: Risks : open access journal 11 (2023) 12, pp. 1-22
performance, an array of risk-adjusted metrics, including Std Sharpe, ES Sharpe, VaR Sharpe, Information ratio, Sortino ratio …, Treynor ratio, and various downside risk metrics (historical VaR, modified VaR, Expected Shortfall, loss deviation, downside …-factor models highlight significant systematic market risk, reflected in notably high beta coefficients, negative alphas, and active …