scispace - formally typeset
Journal ArticleDOI

The Sharpe Ratio

William F. Sharpe
- 31 Oct 1994 - 
- Vol. 21, Iss: 1, pp 49-58
Reads0
Chats0
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]).

read more

Content maybe subject to copyright    Report

Citations
More filters
Posted Content

Portfolio choice and investor preferences : A semi‑parametric approach based on risk horizon

TL;DR: In this article, an innovative framework for characterizing investors' behavior in portfolio selection is proposed, based on the realistic perspective of unknown investors' utility and incomplete information on returns distribution.
Journal ArticleDOI

Estimating Credit Risk Capital: What's the Use?

TL;DR: In this article, the authors consider three typical problems that require an estimate of credit risk capital: an optimal equity capital allocation, an optimal capital allocation for capital budgeting decisions, and an optimal risk allocation to remove moral hazard incentives from a compensation contract based on ex post performance.
Journal ArticleDOI

SOX and the regulated firm

TL;DR: In this article, the authors investigate the initial and long-term market reactions in three regulated industries to the debate and ultimate passage of Sarbanes-Oxley (SOX) legislation.
Journal ArticleDOI

Portfolio performance measurement using differential evolution

TL;DR: This paper presents the alternative approach computing the weights of assets in portfolio assets based on the nonlinear measure techniques: Sortino ratio and Omega function and enables using also other evolutionary algorithms in the area of portfolio selection based on different measurement techniques.
References
More filters
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.
Book

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.
Journal ArticleDOI

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.
Journal ArticleDOI

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.