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Journal ArticleDOI

The Sharpe Ratio

William F. Sharpe
- 31 Oct 1994 - 
- Vol. 21, Iss: 1, pp 49-58
TLDR
The Sharpe Index as mentioned in this paper is a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ).
Abstract
. Over 25 years ago, in Sharpe [1966], I introduced a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ). While the measure has gained considerable popularity, the name has not. Other authors have termed the original version the Sharpe Index (Radcliff [1990, p. 286] and Haugen [1993, p. 315]), the Sharpe Measure (Bodie, Kane and Marcus [1993, p. 804], Elton and Gruber [1991, p. 652], and Reilly [1989, p.803]), or the Sharpe Ratio (Morningstar [1993, p. 24]). Generalized versions have also appeared under various names (see. for example, BARRA [1992, p. 21] and Capaul, Rowley and Sharpe [1993, p. 33]).

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Citations
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Linear programing models for portfolio optimization using a benchmark

TL;DR: Two computationally efficient portfolio optimization models, the mean-absolute deviation risk and the Dantzig-type, are proposed, which can be solved using linear programing and implement on two benchmarks, a market index and the equally-weighted portfolio.

A Critique of the Sharpe Ratio

David Harding
TL;DR: The Sharpe ratio is a statistic which aims to sum up the desirability of a risky investment strategy or instrument by dividing the average period return in excess of the risk-free rate by the standard deviation of the return generating process as discussed by the authors.
Journal ArticleDOI

Can commodities dominate stock and bond portfolios

TL;DR: It is found that the stock and bond indices tend to dominate the individual commodities by investigating second order stochastic dominance relations, and whether commodities should be included as an asset class when establishing portfolios is discussed.
Journal ArticleDOI

Advances in Portfolio Risk Control: Risk! Parity?

TL;DR: A taxonomy of risk control techniques can be found in this paper, where the main characteristics and their pluses and minuses are discussed and compared against each other and against the maximum Sharpe Ratio criterion.
Journal ArticleDOI

The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis

TL;DR: In this article , the authors examined the role of socially responsible investments (SRI) during the COVID-19 pandemic and provided evidence of the important role that SRI have played in diversifying and improving the financial performance of portfolios based on different securities such as traditional equities, Treasury bonds, gold, crude oil and Bitcoin.
References
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Journal ArticleDOI

Liquidity Preference as Behavior towards Risk

TL;DR: In this article, the authors derived the liquidity preference schedule from some assumptions regarding the behavior of the decision-making units of the economy, and those assumptions are the concern of this paper.
Book

Modern Portfolio Theory and Investment Analysis

TL;DR: The Modern Portfolio Theory as discussed by the authors examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios, while presenting advanced concepts of investment analysis and portfolio management.
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Investment Analysis and Portfolio Management

TL;DR: In this paper, the authors present an approach to learn how to manage money and investments to derive the maximum benefit from what you earn, by combining investment instruments and capital markets with the theoretical detail on evaluating investments and opportunities to satisfy risk-return objectives along with how investment practice and theory is influenced by globalization.
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How to Use Security Analysis to Improve Portfolio Selection

TL;DR: In this paper, the authors explore the link between conventional subjective, judgmental, work of the security analyst and the essentially objective, statistical approach to portfolio selection of Markowitz and his successors.
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International Value and Growth Stock Returns

TL;DR: In this article, the International Value and Growth Stock Returns (IVGSR) is used to measure the performance of a stock market stock in terms of its international value and growth.