MGV - Lower-Risk ETFs With High Risk-Adjusted Returns
With any method for computing investment risk and performance, it is important to use data covering as long a time period as possible. In particular, the measurement period must include both bull and bear markets for the investments of interest.
- Peter G. Martin
How Do You Measure Risk in ETFs?
I discuss seven different measures of risk and three measures of risk-adjusted returns. A summary for portfolios from 1932 to 2017 is shown below for Maximum Drawdown, Standard Deviation, Sharpe Ratio and Martin Ratio. The table is from "How Bad Can It Get?