這篇文章市場先生整理什麼是夏普率(英文: Sharpe Ratio),夏普率(或夏普值)是在基金投資或是資產配置時,用來衡量整個投資組合績效與穩定性的重要指標。 本文市場先生會告訴你: 什麼是夏普率? 夏普率高低的差異? 夏普率如何計算? 夏普率的注意事項? 快速總結:夏普率是什麼? 什麼是夏普率? 夏普率就是衡量一個...
The Sharpe ratio's market climate bias: theoretical and empirical evidence from US equity mutual funds. Journal of Asset Management 13, 227-242.Scholz, H,Wilkens, M."The Sharpe Ratio’’s Market Climate Bias-Theoretical and Empirical Evidence from US Equity Mutual Funds". . 2005...
The Sharpe ratio of the example fund is significantly higher than the Sharpe ratio of the market. As is demonstrated with portalpha, this translates into a strong risk-adjusted return. Since the Cash asset is the same as Riskless, it makes sense that its Sharpe ratio is 0. The Sharpe rati...
not the sharpe st tool in the box a quantitative study of the reliability of the sharpe ratio in a bear market 热度: How to Game Your Sharpe Ratio - Hedge Fund Profiler:如何游戏你的夏普比对冲基金轮廓 热度: 相关推荐 夏普比率 出自MBA智库百科(http://wiki.mbalib/) 夏普比率(SharpeRati...
The Sharpe ratio of the example fund is significantly higher than the Sharpe ratio of the market. As is demonstrated with portalpha, this translates into a strong risk-adjusted return. Since the Cash asset is the same as Riskless, it makes sense that its Sharpe ratio is 0. The Sharpe rati...
The Sharpe ratio of the example fund is significantly higher than the Sharpe ratio of the market. As is demonstrated with portalpha, this translates into a strong risk-adjusted return. Since the Cash asset is the same as Riskless, it makes sense that its Sharpe ratio is 0. The Sharpe rati...
The Sharpe ratio's numerator is the difference over time between realized, or expected, returns and a benchmark such as therisk-free rate of returnor the performance of a particular investment category. Its denominator is the standard deviation of returns over the same period of time, a measur...
这样一来,每个投资组合都可以计算Sharpe Ratio,即投资回报与多冒风险的比例,这个比例越高,投资组合越佳。 MOI Multiple of invested capital (money multiple) = (total capital returned + value of any remaining assets)/total capital paid over the life of the investment,适合衡量PE和RE,因为资金流入和流出...
The Treynor ratio is an extension of the Sharpe ratio. Instead of using total risk, Treynor uses beta or systematic risk in the denominator.特雷诺比率是夏普比率的延伸。特雷诺比率不使用总风险,而是使用贝塔或系统风险作为分母。 As with the Sharpe ratio, the Treynor ratio requires positive numerator...
The Sharpe ratio of the example fund is significantly higher than the Sharpe ratio of the market. As is demonstrated with portalpha, this translates into a strong risk-adjusted return. Since the Cash asset is the same as Riskless, it makes sense that its Sharpe ratio is 0. The Sharpe rati...