The Sharpe ratio can be helpful only when used to compare very similar investments, like mutual funds and ETFs that track the same underlying index. Still, investors should keep in mind that those investments with a higher Sharpe ratio can be more volatile than those with a lower rate....
The Sharpe Ratio is the portfolio risk premium divided by the portfolio risk. 夏普比率是投资组合风险溢价除以投资组合风险。 The Sharpe ratio, or reward-to-variability ratio, is the slope of the capital allocation line (CAL). The greater the slope (higher number), the better the asset. 夏普比...
A higher ratio is considered better. It indicates a higher return or a moderate degree of risk, or both. In any case, it suggests that the investor got a substantial reward for taking a greater risk. A negative ratio means that the investment underperformed the risk-free alternative when the...
Sharpe ratio measures just that i.e. the amount of excess return per unit of risk.A higher Sharpe ratio is better.ExampleAlphamania is an asset management company which has only two funds: Alpha Driller (AD), an oil and gas focused fund, and Alphologics (AL), a technology focused fund...
Omega RatioSharpe ratioutilityIn this paper, we will investigate whether there is any Sharpe ratio rule or Omega ratio rule that can be used to show that one asset outperforms another assetdoi:10.2139/ssrn.3198033Chow, Sheung-ChiLu, Richard...
Advantages and Limitations of Sharpe Ratio Lesson Summary Frequently Asked Questions What does the Sharpe ratio tell you? The Sharpe Ratio was introduced by William F. Sharpe as a way to gauge an investment's potential by adjusting for its risk. The higher the Sharpe Ratio, the better the inv...
Basically, the Sharpe ratio equation adjusts portfolios for risk and puts them all on a level risk playing field, so they can all be compared equally. Analysis and Interpretation A higher Sharpe metric is always better than a lower one because a higher ratio indicates that the portfolio is ma...
The Sharpe ratio treats all market volatility the same. Upside volatility is what investors seek, but the subsequent higher volatility measure in the denominator would result in a lower Sharpe ratio. That could potentially send an investor elsewhere, leading them to miss a better risk-adjusted oppo...
As we know, a portfolio can achieve higher returns by taking on additional risks. Using the Sharpe Ratio one can determine the source of higher returns: better performance or from additional risks. Historically, Sharpe ratios over long periods of time for most major asset classes have ranged fro...
sharpe ratio