36©2002,AIMR ® TheStatisticsofSharpeRatios AndrewW.Lo ThebuildingblocksoftheSharperatio—expectedreturnsandvolatilities— areunknownquantitiesthatmustbeestimatedstatisticallyandare, therefore,subjecttoestimationerror.Thisraisesthenaturalquestion:How accuratelyareSharperatiosmeasured?Toaddressthisquestion,Iderive ...
The building blocks of the Sharpe ratio--expected returns and volatilities--are unknown quantities that must be estimated statistically and are, therefore, subject to estimation error. This raises the natural question: How accurately are Sharpe ratios measured? To address this question, I derive ...
The Statistics of Sharpe Ratios. Financial Analysts Jour- nal, 58(4), July/August 2002. URL http://ssrn.com/paper=377260.Lo A. (2002), "The Statistics of Sharpe Ratios", Financial Analysts Journal, 58(4), 36-52.Lo, Andrew. "The Statistics of Sharpe Ratios," Financial Analysts ...
Wolf, M. (2003), "The Statistics of Sharpe Ratios: A Comment," Financial Analysts Journal, 59(5), 17-17.Wolf M (2003) The statistics of Sharpe ratios: a comment. Finan Analysts J 59 (November/December, 17)The statistics of Sharpe Ratios - Lo () Citation Context ...riance of the...
The Treynor and Sharpe ratios will: A. give identical rankings when the assets have identical correlations with the market. B. give identical rankings when the assets have identical standard deviations. C. give identical rankings when the same minimum acceptable return is chosen for the calculations...
A ratio of 3.0 or higher is considered excellent. A ratio under 1.0 is considered sub-optimal. Certain factors can affect the Sharpe ratio. For instance, adding assets to a portfolio to better diversify it can increase the ratio. Investing in stocks with higherrisk-adjusted returnscan power th...
Testing the difference of Sharpe ratiosDavid ArdiaKris Boudt
Lo, A.W. The Statistics of Sharpe Ratios. Financ. Anal. J. 2002, 58, 36–52. [Google Scholar] [CrossRef] Figure 2. K-means clustering method algorithm. Figure 3. Stocks with a positive mean of return on the Kompas 100 Index in Indonesia. Figure 4. Average silhouette width value of...
The Sharpe ratio calculates how much excess return you receive for the extra volatility you endure for holding a riskier asset. It's one of the most referenced risk/return measures used in finance, partly because of its simplicity. The Sharpe ratio is calculated by subtracting the risk-free ra...
TheSharpeRatio夏普比率 TheSharpeRatio WilliamF.Sharpe StanfordUniversity ReprintedfromTheJournalofPortfolioManagement,Fall1994 ThiscopyrightedmaterialhasbeenreprintedwithpermissionfromTheJournalof PortfolioManagement.Copyright?InstitutionalInvestor,Inc.,488MadisonAvenue,New York,N.Y.10022, aCapitalCities/ABC,Inc.Compa...