Journal ArticleDOI
The Sharpe Ratio
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
Citations
More filters
Proceedings ArticleDOI
Cloud Index Tracking: Enabling Predictable Costs in Cloud Spot Markets
Supreeth Shastri,David Irwin +1 more
TL;DR: Cloud spot markets rent VMs for a variable price that is typically much lower than the price of on-demand VMs, which makes them attractive for a wide range of large-scale applications as discussed by the authors.
Journal ArticleDOI
Measuring investment skills of fund managers
TL;DR: In this article, the authors proposed a method that allows for a measurement and comparison of fund managers' performance across time and asset portfolios, and found significant persistence of managerial skills of up to 11 years.
Journal ArticleDOI
The Sharpe ratio's market climate bias: Theoretical and empirical evidence from US equity mutual funds
TL;DR: In this article, the impact of market climates on the Sharpe ratio (SR) of US equity mutual funds is analyzed, and it is shown that the SR of poorly diversified funds is biased upwards in bear markets, and vice versa.
Proceedings ArticleDOI
Managing Risk of Bidding in Display Advertising
TL;DR: This paper explicitly model the uncertainty of user click-through rate estimation and auction competition to capture the risk and results in two risk-aware bidding strategies that penalize risky ad impressions and focus more on the ones with higher expected return and lower risk.
Journal ArticleDOI
Diversified Investments of Wealthy Ethiopian Pastoralists Include Livestock and Urban Assets That Better Manage Risk
TL;DR: In this article, the average value of the physical and financial assets held by these men was estimated as at least USD $164,000, about 62 times that held by poor households.
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
Jack L. Treynor,Fischer Black +1 more
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.