Journal ArticleDOI
The Sharpe Ratio
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
Journal ArticleDOI
A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms
TL;DR: A new bi-objective fuzzy portfolio selection model is proposed, for which Sharp ratio (SR) and Value at Risk ratio (VR) of a portfolio are chosen as objectives.
Journal ArticleDOI
Analysts' Rationality and Forecast Bias: Evidence from Sales Forecasts
David P. Mest,Elizabeth Plummer +1 more
TL;DR: In this article, the authors examine analysts' earnings and sales forecasts, and predict that analysts' optimistic bias will be greater for earnings than for sales, and contribute to the evidence that analyst's forecast bias is rational and intentional.
Journal ArticleDOI
Interpreting the Sharpe ratio when excess returns are negative
W. McLeod,G. Van Vuuren +1 more
TL;DR: In this paper, the Sharpe ratio is interpreted when excess portfolio returns are negative, i.e., when excess returns are less than the risk-free rate of the portfolio.
Journal ArticleDOI
On the Optimality of Long–Short Strategies
TL;DR: In this paper, the authors consider the optimality of portfolios not subject to short-selling constraints and derive conditions that a universe of securities must satisfy for an optimal active portfolio to be dollar neutral or beta neutral.
Journal ArticleDOI
Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity
TL;DR: In this paper, the authors provide bounds on the expected disagreement with a traditional alpha and study the cross sectional relation of disagreement and investor heterogeneity with the flow response to past fund alphas.
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.