Investment analysis and portfolio management 8th reilly and brown chapter 20

... (bonds and equity), where performance data and benchmarks are readily and reliably available, the infrastructure and reliability of performance data for alternative investments, in general, and ... data and description of CTA Qualified Universe Index 362 PROGRAM EVALUATION, SELECTION, AND RETURNS TABLE 20. 1 Characteristics of CTA and Traditional Asset Classes, January 1990 to February 200 3 ... true risk, so monthly modified Sharpe ratios (using VaR instead of standard deviation) is also presented and confirms the advantage of the CTA QU index Using VaR and modified VaR to measure risk,...