# 计算夏普比率Rp=0.12# 投资组合收益率 12%Rf=0.03# 无风险利率 3%sigma_p=0.15# 投资组合波动率 15%sharpe_ratio=(Rp-Rf)/sigma_pprint(f"夏普比率:{sharpe_ratio:.2f}")# 计算并输出夏普比率 输出: 夏普比率: 0.60 📌这个夏普比率为 0.60,意味着该投资组合每承担 1 单位的风险,可以带来 0.60 的超...
Sharpe Ratio •Sharpe Ratio的计算公式为: Sharpe Ratio = (Rp - Rf) / σp 其中,Rp为投资组合的预期收益率,Rf为无风险回报率,σp为投资组合的标准差。 Sharpe Ratio •Sharpe Ratio可以用来比较不同投资组合的风险调整回报率,从而帮助投资者选择最佳的投资组合。 示例 •假设有两个投资组合A和B,它们的...
The Sharpe Ratio is a financial metric that enables investors to evaluate an investment’s return relative to the amount of risk involved. It measures the excess return generated above a risk-free rate per unit of risk, also known as volatility. By considering both return and risk, the Sharpe...
Definition: The Sharpe ratio is an investment measurement that is used to calculate the average return beyond the risk free rate of volatility per unit. In other words, it’s a calculation that measures the actual return of an investment adjusted for the riskiness of the investment.This...
The Sharpe ratio is calculated with the following formula: 夏普比率的计算公式如下: 夏普比率=(投资回报率-无风险收益率)/投资回报率的标准差 There are three components to the Sharpe Ratio calculation: Investment return Risk free rate of return ...
#投资达人说# 夏普比率(Sharpe Ratio)由1990年诺贝尔经济学奖得主William Sharp提出,又被称为夏普指数,是基金绩效评价的标准化指标之一。夏普比率的意义在于,计算历史上任意投资组合每承...#新闻看点# http:...
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Example 1 – Using a Formula to Calculate the Sharpe Ratio with Known Values When the values are known, we can simply calculate the Sharpe Ratio by putting the values in the equation. Here, we have a dataset with a given Expected Rate of Return, Risk Free Rate of Return, and Standard ...
Is a Sharpe Ratio of 1.5 Good? 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 informat...
The Sharpe ratio compares the return of an investment with its risk. It's a mathematical expression of the insight that excess returns over a period of time may signify more volatility and risk, rather than investing skill. EconomistWilliam F. Sharpeproposed the Sharpe ratio in 1966 as an out...