Sortino Ratio/Jensen's Measure for Excel?

Discussion in 'Strategy Development' started by jsp326, Nov 21, 2004.

  1. jsp326


    I've designed a long-term switching system for a set of mutual funds (several stock funds, a bond fund, and a money market fund). I've found the annual returns, total gain and max drawdown, but I want to subject it to a few measures from academic finance: Sharpe Ratio, Sortino Ratio and Jensen's Measure. Sharpe's Ratio is a no-brainer. However, I'm trying to save myself some work by locating an Excel file that already has Sortino's and/or Jensen's measure, to which I can add my own data and modify as necessary. If anyone has such a file or can direct me to a website that does, I'd be most thankful!