a suitable risk free rate of return is the current yield on 10-year U.S. government bonds. That is the convention used in the Sharpe ratio spreadsheet available for download at the top of this article.
Finding the Sharpe ratio involves subtracting the risk-free rate of return from the expected rate of return and then dividing that result by the standard deviation, otherwise known as the asset's "volatility." The Sharpe ratio is named after the creator, William F. Sharpe, who first introduced...
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The Omega ratio is an alternative measure of asset performance that gives the investor the information the Sharpe ratio discards. It incorporates the entire distribution of returns without burdening the analyst with difficult calculations. Con Keating, a fund manager with experience as a financial analy...
see that the ratio is concerned with both the return of the portfolio and its systematic risk. From a purely mathematical perspective, the formula represents the amount of excess return from the risk-free rate per unit of systematic risk. Like the Sharpe Ratio, it is a Return/Risk Ratio. ...
例如,一个每天按照 1 月期SVIX成比例投资于 S&P 500 指数,并将剩余资产投资于现金的择时策略,在近 40 年的样本期内,可获得比市场本身高 45% 的 Sharpe ratio(日度 Sharpe ratio 分别为 1.97% 和 1.35%)。从以下累计收益图可以更直接地看到其显著差异:...
It is not easy for any fund management house to shift from what they may be doing today and produce a risk parity fund that is actually going to do what it says on the tin. The aim is to achieve the most efficient capture of the equity risk premium. The Sharpe ratio indicates the ...
What Is the Sharpe Ratio? The Sharpe ratio measures the risk-adjusted return on an investment or portfolio, developed by the economist William Sharpe. The Sharpe ratio can be used to evaluate the total performance of an investment portfolio or the performance of an individual stock. The Sharpe ...
Sharpe Ratio First developed in 1966 and revised in 1994, the Sharpe ratio aims to reveal how well an asset performs compared to a risk-free investment.1The common benchmark used to represent that risk-free investment is U.S. Treasury bills or bonds, especially the 90-day Treasury bill. ...