scispace - formally typeset
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]).

read more

Content maybe subject to copyright    Report

Citations
More filters
Journal ArticleDOI

How to combine a billion alphas

TL;DR: In this paper, an explicit algorithm and source code for computing optimal weights for combining a large number N of alphas is given, which does not require computing principal components or inverting large matrices, nor does it require iterations.
Posted Content

Automatic financial trading agent for low-risk portfolio management using deep reinforcement learning

TL;DR: A deep reinforcement learning based trading agent that can manage the portfolio considering not only profit maximization but also risk restraint, and a new target policy to allow the trading agent to learn to prefer low-risk actions is proposed.
Journal ArticleDOI

Benchmark Orthogonality Properties

TL;DR: In this paper, a manager's benchmark is defined as a passive representation of the manager's investment process, and it is used to evaluate the performance of an investment manager's performance.
Journal ArticleDOI

Skewness preference and the measurement of abnormal returns

TL;DR: In this paper, the quadratic characteristic line (QCL) was used to compare the performance of the LCL model and the QCL model for stock market returns, and it was shown that the cumulative average returns obtained using QCL outperformed those obtained using LCL in the event time and the CAR space for the dividend increase sub-sample.
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.