Correlations of Performance Measures

Treynor’s Ratio

Skewness

Kurtosis

Sharpe Ratio

Skewness

0.1347

Kurtosis

0.0680

0.4834

Sharpe Ratio

0.1744

0.0284

−0.0403

Alpha (%)

0.0903

0.3139

0.0903

0.0873