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夏普比率(Sharpe Ratio): S= (R – r) / σ,其中: R= 投资的回报期望值(平均回报率) r= 无风险投资的回报率(可理解为投资国债的回报率) σ = 回报率的标准方差(衡量波动性的最常用统计指标) 夏普比率S越高,投资机会的“质量”越高。
EconomistWilliam F. Sharpeproposed the Sharpe ratio in 1966 as an outgrowth of his work on thecapital asset pricing model (CAPM), calling it the reward-to-variability ratio. Sharpe won the Nobel Prize in economics for his work on CAPM in 1990.12 The Sharpe ratio's numerator is the differenc...
A definition for the term Sharpe's Ratio is presented. It refers to a measure of the return on a security adjusted for risk. Calculated by dividing the annualized percentage return on a security by the standard deviation of the returns....
夏普比率(Sharpe Ratio)及其与标准差的关系解析 夏普比率(Sharpe Ratio)，这一由诺贝尔奖获得者威廉·夏普在1966年首次提出的指标，如今已成为国际上衡量基金绩效表现的重要标准。它不仅衡量了基金相对于无风险利率的收益情况，还反映了每单位风险所对应的预期超额收益。简言之，夏普比率即收益风险比，展示了投资者承担...
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...
The bond index's Sharpe ratio of 1.16% versus 0.38% for the equity index would indicate equities are the riskier asset. To calculate the Sharpe ratio, subtract the risk-free rate of return from the expected rate of return, then divide that result by the standard deviation. Standard ...
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The Sharpe ratio is an investment measurement that is used to calculate the average return beyond the risk free rate of volatility per unit.
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