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

A portfolio analysis of incentive programmes for conservation, restoration and timber plantations in Southern Ecuador

TL;DR: The authors used portfolio analysis to study how the Ecuadorian incentive programme for forest conservation and restoration (Socio Bosque), and an incentive program for timber plantations, may reduce income risk and/or maximise returns for a given level of risk for farmers in the municipality of Loja.
Journal ArticleDOI

The Other January Effect: Evidence against market efficiency?

TL;DR: The Other January Effect (OJE) as mentioned in this paper suggests positive (negative) equity market returns in January predict positive(negative) returns in the following 11 months of the year, underperforms a simple buy-and-hold strategy before and after risk adjustment.
Journal ArticleDOI

Portfolio Manager Ownership and Mutual Fund Risk Taking

TL;DR: In this article, the effect of portfolio manager ownership (i.e., "skin in the game") on mutual fund risk taking was studied. But the authors focused on a single fund and did not consider other types of managers' ownership.
Journal ArticleDOI

Efficiency Ratio: A new Methodology for Performance Measurement

TL;DR: In this article, the efficiency ratio as a performance measure is based on the ex post efficient frontier underlying the investment environment, which is related to the Sharpe ratio but improves on it, consistent with modern portfolio theory.
Journal ArticleDOI

Detection of False Investment Strategies Using Unsupervised Learning Methods

TL;DR: The problem of selection bias under multiple testing in the context of investment strategies is addressed and an unsupervised learning algorithm is introduced that determines the number of decisions to be made.
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.