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 |