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A strong case to calculate the Treynor ratio using log-returns
Journal of Asset Management, 2017Both of the building blocks of the Treynor ratio (TR), the expected return and the portfolio beta, depend on the investment horizon. This raises a natural question: how to compare two portfolios using TR over different horizons? Previous studies show that there may be a ranking reversal. That is, one portfolio may look attractive at a short horizon but
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