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What is the Treynor Ratio?
The Treynor Ratio measures the excess return for taking on additional risk. It is calculated as the strategy's mean return minus the mean risk-free rate divided by…
What is Up-Market & Down-Market Capture Ratio?
Up- and down-market capture ratios help investors assess how a strategy holds up during different market conditions. They demonstrate how…
What is the Information Ratio?
The Information Ratio demonstrates a strategy's excess return, scaled by risk. Rather than using total risk or systematic risk, the Information Ratio uses…