Sharpe Ratio 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...
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...
investments, you should keep in mind that those with a higher Sharpe ratio can be more volatile than those with a lower rate. The higher Sharpe ratio simply shows that the investment's risk-to-reward profile is more optimal or proportional than another. However, there could still be big ...
Sharpe中文翻译 [人名] [英格兰人姓氏] 夏普 Sharp的变体;[地名] [美国] 夏普 Sharpe是什么意思网络解释 夏普; 夏普指数; 沙普 星级词汇: 词组短语 1.Sharperatio夏普比率;夏普指数;夏普比例 2.LeeSharpe李·夏普;夏普;李;李夏普 3.WilliamSharpe威廉·夏普;威廉夏普;威廉 ...
Rf: Risk-free return (investor chooses a specific U.S. Treasury bill or note for this data—more below) Standard deviation: A measure of risk based on the investment’s volatility; A lower standard deviation implies less risk and consequently a higher Sharpe ratio, while a higher standard de...
Interpretation:A higher Information Ratio indicates that an investment manager has consistently outperformed the benchmark with a lower level of risk. On the other hand, a higher Sharpe Ratio implies a higher risk-adjusted return, regardless of benchmark performance. ...
The trade-off between the returns and the risks associated with the stocks (i.e., the Sharpe ratio, SR) is an important measure of portfolio optimization.
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....
Contrary to what might reasonably be expected, our results show that a firm with a higher equity value tends to have a lower Sharpe ratio value. The results show the potential and feasibility of integrating three fields in future research: performance evaluations, option pricing, and corporate ...
Generally, a ratio of 1 or better is considered good. The higher the number, the better the asset’s returns have been relative to the amount of risk taken. How Is the Sharpe Ratio Calculated? To calculate the Sharpe ratio, you need the following information on the asset you are assessing...