Topic
Sharpe ratio
About: Sharpe ratio is a research topic. Over the lifetime, 3496 publications have been published within this topic receiving 69229 citations. The topic is also known as: Sharpe index & reward-to-variability ratio.
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TL;DR: 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]).
2,513 citations
TL;DR: This work deploys LSTM networks for predicting out-of-sample directional movements for the constituent stocks of the S&P 500 from 1992 until 2015 and finds one common pattern among the stocks selected for trading – they exhibit high volatility and a short-term reversal return profile.
1,199 citations
TL;DR: In this paper, two modifications are introduced into the standard real-business-cycle model: habit preferences and a two-sector technology with limited inter-sectoral factor mobility, which is consistent with the observed mean risk-free rate, equity premium, and Sharpe ratio on equity.
Abstract: Two modifications are introduced into the standard real-business-cycle model: habit preferences and a two-sector technology with limited intersectoral factor mobility. The model is consistent with the observed mean risk-free rate, equity premium, and Sharpe ratio on equity. In addition, its business-cycle implications represent a substantial improvement over the standard model. It accounts for persistence in output, comovement of employment across different sectors over the business cycle, the evidence of "excess sensitivity" of consumption growth to output growth, and the "inverted leading-indicator property of interest rates," that interest rates are negatively correlated with future output.
1,108 citations
Book•
01 Jan 1970
TL;DR: McGraw-Hill as discussed by the authors published a new edition of the classic portfolio theory and capital management book, Portfolio Theory and Capital Management, with a new foreword that places Dr. Sharpe's synthesis of portfolio and capital markets theories into today's financial environment, while his rules for intelligent selection of investments tinder conditions of risk remain as fresh today as in 1970.
Abstract: William Sharpe's influential Portfolio Theory and Capital Management is as relevant today as when it was first published in 1970. McGraw-Hill is proud to reintroduce tiffs hard-to-Find classic in its original edition. Dr. Sharpe's groundbreaking approach to the Capital Asset Pricing Model (CAPM) laid tile foundation for today's most important investment tools and theories, gave the investment world the stillvital Sharpe Ratio -- and made him the co-recipient of the 1990 Nobel Prize in Economics!A new foreword helps place Dr. Sharpe's synthesis of portfolio and capital markets theories into today's financial environment, while his rules for the intelligent selection of investments tinder conditions of risk remain as fresh today as in 1970. Serious investors and students of finance will respect its history ... as they reabsorb its timeless lessons.
1,041 citations
TL;DR: In this article, an equally weighted index of monthly returns of commodity futures for the July 1959 through December 2004 period was constructed for the same return and Sharpe ratio as U.S. equities.
Abstract: For this study of the simple properties of commodity futures as an asset class, an equally weighted index of monthly returns of commodity futures was constructed for the July 1959 through December 2004 period. Fully collateralized commodity futures historically have offered the same return and Sharpe ratio as U.S. equities. Although the risk premium on commodity futures is essentially the same as that on equities for the study period, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation is the result, primarily, of commodity futures' different behavior over a business cycle. Commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation.
974 citations