Sharpe Ratio
المؤلف:
Sharpe, W. F.
المصدر:
"The Sharpe Ratio." J. Portfolio Management 21
الجزء والصفحة:
...
21-8-2021
1314
Sharpe Ratio
The Sharpe ratio is a risk-adjusted financial measure developed by Nobel Laureate William Sharpe. It uses a fund's standard deviation and excess return to determine the reward per unit of risk. The higher a fund's Sharpe ratio, the better the fund's "risk-adjusted" performance, given by
where 
is the return on the portfolio, 
is the risk-free return and 
is the standard deviation of the fund's returns (i.e., the portfolio risk).
REFERENCES:
Sharpe, W. F. "The Sharpe Ratio." J. Portfolio Management 21, 49-58, 1994. https://www.stanford.edu/~wfsharpe/art/sr/sr.htm.
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