WHIS ratio

The WHIS ratio (sometimes called the Beta-adjusted active return), named after William Highducheck and Idan Shani, is a measurement of the active return of an investment per unit of market risk assumed.

The WHIS ratio relates the active return of the investment, measured as Alpha, over the systematic risk assumed in terms of Beta calculated using the capital asset pricing model (CAPM). The higher the absolute WHIS ratio, the better the market neutral active management of the portfolio.

Formula

$WHIS=\frac{{\alpha }_i}{{\beta }_i}$

where:

$WHIS\equiv$ the WHIS ratio,

${\alpha }_i\equiv$ portfolio i's alpha, and

${\beta }_i\equiv$ portfolio i's beta

See also

• Bias ratio (finance)
• Hansen-Jagannathan bound
• Jensen's alpha
• Modern portfolio theory
• Modigliani Risk-Adjusted Performance
• Sharpe ratio
• Sortino ratio
• Treynor ratio
• Upside potential ratio

References

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