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Journal ArticleDOI

The Sharpe Ratio

William F. Sharpe
- 31 Oct 1994 - 
- Vol. 21, Iss: 1, pp 49-58
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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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The Dilemma of Service Productivity and Service Innovation: An Empirical Exploration in Financial Services

TL;DR: A systematic exploratory investigation of the effects of firms’ existing service productivity on the success of their new service innovations reveals a fundamental service productivity-service innovation dilemma and demonstrates that a focused customer scope and growth market conditions may enable firms to mitigate the dilemma and successfully pursue service productivity and service innovation simultaneously.
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A deep Q-learning portfolio management framework for the cryptocurrency market

TL;DR: A novel deep Q-learning portfolio management framework composed of a set of local agents that learn assets behaviours and a global agent that describes the global reward function that has proven to be a promising approach for dynamic portfolio optimization.
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Deep reinforcement learning for portfolio management of markets with a dynamic number of assets

TL;DR: The proposed neural network architecture considers all assets in the market, and automatically adapts when new ones are suddenly introduced, making the method more general and sample-efficient than previous methods.
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Investment horizon effect on asset allocation between value and growth strategies

TL;DR: In this article, the optimal asset allocation between value and growth strategies over various investment horizons is examined by examining portfolio allocation between the two types of stocks over different horizons, and the results show that as the investment horizon increases, the optimal mean allocation of investors tilts heavily away from growth stocks.
Posted Content

The performance of open-end international mutual funds

Paula A. Tkac
- 01 Jan 2001 - 
TL;DR: In this paper, the authors investigated whether exploitable foreign market inefficiencies exist by studying the performance of a large sample of international open-end mutual funds during the 1990s and found that a large percentage of well-diversified international funds outperform their passive benchmarks in a statistically significant manner, but regional and country funds do not.
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.
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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.