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Formula for measuring financial risk
In finance, the Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) measures the performance of an
Sharpe_ratio
Graphical aid to investment analysis
slope of the CML is the Sharpe ratio of the market portfolio. A stock picking rule of thumb is to buy assets whose Sharpe ratio will be above the CML and
Capital_market_line
Measure of the risk-adjusted returns of some investment portfolio
known as the Sharpe ratio. Sharpe originally called it the "reward-to-variability" ratio before it began being called the Sharpe ratio by later academics
Modigliani risk-adjusted performance
Modigliani_risk-adjusted_performance
American economist
in Economic Sciences. Sharpe was one of the originators of the capital asset pricing model (CAPM). He created the Sharpe ratio for risk-adjusted investment
William_F._Sharpe
Risk management technique in investing
deviation of Return}}}.} The Sharpe ratio is defined as excess return per unit of risk, or in other words: Sharpe ratio = ( Expected Return ) − ( Risk-Free
Roy's_safety-first_criterion
Measurement in finance
The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes
Sortino_ratio
Measure of an investment's return vs risk
manager. The information ratio is similar to the Sharpe ratio, the main difference being that the Sharpe ratio uses a risk-free return as benchmark (such as
Information_ratio
Calculation of investment performance
performance Omega ratio Risk return ratio Sharpe ratio Sterling ratio Sortino ratio Young, Terry W. (1 October 1991), "Calmar Ratio: A Smoother Tool"
Calmar_ratio
Topics referred to by the same term
character of the Sharpe series by Bernard Cornwell Sharpe (TV series), the television series based on Cornwell's books Sharpe ratio, financial statistic
Sharpe
Concept in financial risk modeling
probability weighted ratio of gains versus losses for some threshold return target. The ratio is an alternative for the widely used Sharpe ratio and is based
Omega_ratio
Measure of financial risk
Bias ratio (finance) Hansen-Jagannathan bound Jensen's alpha Modern portfolio theory Modigliani risk-adjusted performance Omega ratio Sharpe ratio Sortino
Treynor_ratio
Portfolio theory
this ratio is demonstrably superior to the traditional Sharpe ratio as a means for ranking investment results. The table shows risk-adjusted ratios for
Post-modern_portfolio_theory
Stock market risk measure
For example, the Sharpe ratio, which rates an investment's excess return (return above a safe cash rate) against risk, is: Sharpe ratio = return − risk-free
Ulcer_index
Tradeoff between investment return and risk
to the risk–return point for that investment has a slope called the Sharpe ratio. On the lowest end is short-dated loans to government and government-guaranteed
Risk–return_spectrum
Theorem in financial economics
economics that says that the ratio of the standard deviation of a stochastic discount factor to its mean exceeds the Sharpe ratio attained by any portfolio
Hansen–Jagannathan_bound
Financial calculation
Modigliani risk-adjusted performance Omega ratio Sharpe ratio Sortino ratio Treynor ratio Upside potential ratio Evaluating Mutual Fund Performance Jensen
Jensen's_alpha
Canadian trader, author, investor
volume and catalysts could deliver net performance above 1,600% with a Sharpe ratio of 2.8. Aziz also co-authored The Volatility Edge: A Dual Approach for
Andrew_Aziz
Indicator in finance
a high bias ratios and a high Sharpe ratio. High bias ratios exist only in strategies that have traditionally exhibited high Sharpe ratios, but plenty
Bias_ratio
Professional asset management of securities for the benefit of investors
by Sharpe (1964) highlighted the notion of rewarding risk and produced the first performance indicators, be they risk-adjusted ratios (Sharpe ratio, information
Investment_management
Approach to investment management focusing on allocation of risk
the same risk level, the risk parity portfolio can achieve a higher Sharpe ratio and can be more resistant to market downturns than the traditional portfolio
Risk_parity
Risk-adjusted measure of the so-called active return on an investment
other important quantities such as standard deviation, R-squared and the Sharpe ratio. In modern financial markets, where index funds are widely available
Alpha_(finance)
Unlike the reward-to-variability ratios, such as Sharpe ratio and Sortino ratio, the Rachev ratio is a reward-to-risk ratio, which is designed to measure
Rachev_ratio
Bet sizing formula for long-term growth
useful. If we take excess return 6% and volatility 15% then the yearly Sharpe ratio is (μ − r)/σ = 40%. The Kelly fraction (i.e., the appropriate investment)
Kelly_criterion
Type of algorithmic trading
or hold their portfolios overnight. As a result, HFT has a potential Sharpe ratio (a measure of reward to risk) tens of times higher than traditional buy-and-hold
High-frequency_trading
[citation needed] This version of the Sterling ratio may be adjusted to something more like a Sharpe ratio as follows: S R = A n n u a l P o r t f o l
Sterling_ratio
insure losses of the put buyers. The PUT Index had a higher Sharpe ratio, higher Sortino Ratio, and more negative skewness than the S&P 500 Index. A key
CBOE_S&P_500_PutWrite_Index
arbitrage opportunities which are statistically significant, measuring a Sharpe ratio as high as 4.4 between 2000 and 2010. As the S&P-GSCI was the first commodity
Goldman_roll
line Security market line Security characteristic line Market portfolio Sharpe ratio, which equals the slope of the Capital Allocation Line "Capital Allocation
Capital_allocation_line
ratio Coefficient of variation Information ratio Jaws ratio Jensen's alpha Modigliani risk-adjusted performance Roy's safety-first criterion Sharpe ratio
List of financial performance measures
List_of_financial_performance_measures
Dynamic investment strategy
Inc., they examined the "net annualized return, standard deviation, Sharpe ratio, and maximum drawdown from July 31, 2010, to December 31, 2011" of 163
Tactical_asset_allocation
Measure of the decline from a historical peak
measures: the Calmar ratio, the Sterling ratio and the Burke ratio. These measures can be considered as a modification of the Sharpe ratio in the sense that
Drawdown_(economics)
the V2 ratio is to improve on existing and popular measures of risk-adjusted return, such as the Sharpe ratio, information ratio or Sterling ratio by taking
V2_ratio
portfolio theory Modigliani risk-adjusted performance Omega ratio Sharpe ratio Sortino ratio Chen, L.; He, S.; Zhang, S. (2011). "When all risk-adjusted
Upside_potential_ratio
Modigliani–Miller theorem William F. Sharpe (1934–) University of California, Los Angeles (PhD, economics) Stanford University Sharpe Ratio, Binomial options pricing
List of Nobel Memorial Prize laureates in Economic Sciences
List_of_Nobel_Memorial_Prize_laureates_in_Economic_Sciences
Plan for achieving returns from a financial marketplace
basis. Probably the best-known risk-adjusted performance measure is the Sharpe ratio. However, in practice one usually compares the expected return against
Trading_strategy
portfolio is the same for all clients. In one version, it has the highest Sharpe ratio. See mutual fund separation theorem for a discussion of other possibilities
Separation_property_(finance)
Mathematical ratio used in investing
Commonly used measures include the Sharpe ratio, which relates excess return to return volatility, and the information ratio, which compares active return
Risk_return_ratio
Machine learning framework for portfolio construction
et al. (2009). Based on these figures, HRP improves the out-of-sample Sharpe ratio of a CLA strategy by approximately 31.3%. While IVP benefits from assuming
Hierarchical_Risk_Parity
American economist
showed that the ratio of any stochastic discount factor's standard deviation to its mean is at least as great as any asset's Sharpe ratio; this result is
Lars_Peter_Hansen
German businessman
FTD described as notable for a young fund, citing an unusually high Sharpe ratio of 2. Thelen was a member of the Christian Democratic Union (CDU) until
Frank_Thelen
Profitability measurement framework
Financial risk management § Banking Omega ratio Risk return ratio Risk-return spectrum Sharpe ratio Sortino ratio Herring, Richard; Diebold, Francis X.;
Risk-adjusted return on capital
Risk-adjusted_return_on_capital
Short-term financial trading strategy
which, in turn, severely compresses the risk-adjusted returns (e.g. Sharpe Ratio) and makes these high-turnover, market-neutral strategies uncompetitive
Statistical_arbitrage
Investment technique
this return has been achieved with lower volatility, resulting in a Sharpe ratio of 0.94 for the full sample period. The formula also delivered positive
Conservative Formula Investing
Conservative_Formula_Investing
Portfolio rebalancing in finance
hold Constant proportion portfolio insurance Constant mix Maximizing Sharpe ratio Some say that the exact choice is probably not too important, as long
Rebalancing_investments
American educator and economist
beta (relative standard deviation), alpha (excess return), and the Sharpe ratio (risk adjusted return)—as inadequate and even misleading. Columbia resisted
David_Dodd
Expected change in price of a stock relative to the whole market
any Asset-Index pair Archived 2022-08-19 at the Wayback Machine Calculate Sharpe Ratio in Excel Calculate Beta in Excel Online Portfolio Beta Calculator
Beta_(finance)
Mathematical framework for investment risk
tangent to the hyperbola at the pure risky portfolio with the highest Sharpe ratio. Its vertical intercept represents a portfolio with 100% of holdings
Modern_portfolio_theory
Investment strategy that adds active features to passive strategies
Liquidity: Amihud ratio – median ratio of absolute daily return to daily traded value over the previous year Momentum: residual Sharpe ratio Quality: composite
Smart_beta
Hypothetical interest rate on a risk-free investment
such as the Black–Scholes formula for pricing stock options and the Sharpe ratio. Note that some finance and economic theories assume that market participants
Risk-free_rate
Privately pooled investment fund using diverse strategies to seek high returns
theoretical concerns with traditional indicators, including: modified Sharpe ratios; the Omega ratio introduced by Keating and Shadwick in 2002; Alternative Investments
Hedge_fund
Overview of finance and finance-related topics
ratio Sharpe ratio – Formula for measuring financial risk Treynor ratio – Measure of financial risk Jensen's alpha – Financial calculation Bias ratio –
Outline_of_finance
Method of budgeting where an investment's value is penalized according to its risk
{\displaystyle t={\frac {\mu ^{*}-r_{0}}{\sigma ^{*}}}} which is the value of the Sharpe ratio of the market portfolio (premium per unit of risk σ asked by the market)
Penalized_present_value
Financial market data analysis method
time in finance include: trading strategy characterised by the annual Sharpe ratio 3.04 tools designed to monitor liquidity at multiple trend scales. The
Directional-change intrinsic time
Directional-change_intrinsic_time
Ratio of lengths of fingers
The digit ratio is the ratio taken of the lengths of different digits or fingers on a hand. The most commonly studied digit ratio is that of the 2nd (index
Digit_ratio
Italian-American economist and Nobel Laureate (1918–2003)
risk-adjusted returns of an investment portfolio that was derived from the Sharpe ratio, adjusted for the risk of the portfolio relative to that of a benchmark
Franco_Modigliani
American investor and hedge fund manager (born 1971)
and specifically its emphasis on correlations and mean-variance (or Sharpe ratios), and skeptic of market forecasts, although, according to a New York
Mark_Spitznagel
American businessman
The award is based on 3 year returns compared to volatility with high Sharpe ratio. Absolute Return Magazine also nominated the long / short equity fund
Joseph_DiMenna
Public school in Riverside, California, United States
asset pricing model, part of Modern portfolio theory. Also known for Sharpe ratio. Mel Streeter 1950 Sports College basketball player and Seattle architect
Riverside Polytechnic High School
Riverside_Polytechnic_High_School
theorem Shape of the distribution Shape parameter Shapiro–Wilk test Sharpe ratio SHAZAM (software) Shewhart individuals control chart Shifted Gompertz
List_of_statistics_articles
Financial ratio comparing stock price to company book value
The price-to-book ratio, or P/B ratio, (also PBR) is a financial ratio used to compare a company's current market value to its book value (where book value
P/B_ratio
School of economic thought
implies that market crashes do not happen enough to justify the high Sharpe ratio of US stocks and other risky assets. Economist Brad DeLong of the University
Chicago_school_of_economics
BXD could have improved the risk-adjusted returns (as measured by the Sharpe ratio) of all four comparative portfolios studied (i.e., all-stocks, all fixed
CBOE_DJIA_BuyWrite_Index
Thoeny, M.; Tibiletti, L. (2008). "Beyond Sharpe ratio: Optimal asset allocation using different performance ratios". Journal of Banking and Finance. 32 (10):
Svetlozar_Rachev
German economist
Prize for the best paper in Macroeconomic Dynamics, for the article "The Sharpe Ratio and Preferences: A Parametric Approach," with Martin Lettau. In December
Harald_Uhlig
average 83 basis points per quarter. The results hold also when using Sharpe ratio and the raw quarterly return as dependent variables. The use of performance
Pay-for-performance (Investment)
Pay-for-performance_(Investment)
Surname list
Sharpe ratio Allan Sharpe (1949–2004), Scottish actor, theatre director and playwright Albert Sharpe, Irish stage and film actor Avery Sharpe, American
Sharpe_(surname)
Indian social entrepreneur
understanding of the market. He has also spoken about the need to use climate-sharpe ratios to quantify climate change related risk and volatility and conceptualized
Himanshu_Gupta
to the S&P 500. Thus, fundamentally based indices also had a higher Sharpe ratio than capitalization-weighted indices. In non-U.S. markets, fundamentally
Fundamentally_based_indexes
Any investment strategy combining both financial performance and social/ethical impact
the performance of the Domini 400 Social Index with the S&P 500. The Sharpe ratio and the capital asset pricing model were used to estimate Jensen's alpha
Socially responsible investing
Socially_responsible_investing
North American standard for electrical-wire diameters
particular purpose. While the AWG is essentially identical to the Brown & Sharpe (B&S) sheet metal gauge, the B&S gauge was designed for use with sheet metals
American_wire_gauge
Financial instrument dominated in Indian rupee
Co. explain the tax implications. IDRs would also help improve the Sharpe's ratio of domestic portfolios by reducing home bias, that is either rooted
Indian_Depository_Receipt
British statistician (1895–1980)
Egon Sharpe Pearson CBE FRS (11 August 1895 – 12 June 1980) was an English mathematician and statistician. He was one of three children of Karl Pearson
Egon_Pearson
Global conflict from 1939 to 1945
History: A Brief History of the United States. Armonk, New York: M. E. Sharpe. ISBN 978-0-7656-1821-4. Bilinsky, Yaroslav (1999). Endgame in NATO's Enlargement:
World_War_II
Rules to predict ionic compounds' crystal structures
radii determines the cation-anion distance, while the cation-anion radius ratio r + / r − {\displaystyle r_{+}/r_{-}} (or r c / r a {\displaystyle r_{c}/r_{a}}
Pauling's_rules
Versus Douglas John Barnes & Senator Paul Douglas (producer); Robert K. Sharpe; cast: Hal Holbrook color 30m April 9, 1965 The Great Diamond: Long Division
List of Encyclopædia Britannica Films titles
List_of_Encyclopædia_Britannica_Films_titles
Portrayal of sexual subject matter
controversies in American politics: cases in social regulatory policy. M.E. Sharpe. ISBN 1-56324-993-6. Archived from the original on 4 April 2023. Retrieved
Pornography
Species of beetle
1365-2583.1999.810133.x. PMID 9927182. S2CID 45043757. Hurst, G. D. D.; Sharpe, R. G.; Broomfield, A. H.; Walker, L. E.; Majerus, T. M. O.; Zakharov, I
Adalia_bipunctata
System for securing cutting tools or toolholders in a spindle
drill chucks were developed that held parallel shank drill bits. Brown & Sharpe tapers (Abbreviated BS or B&S), standardized by the company of the same
Machine_taper
Superseded US Constitution clause counting slaves
representation was the greater concern.[citation needed] The three-fifths ratio originated with an amendment proposed to the Articles of Confederation on
Three-fifths_Compromise
School
Terri Sharpe Assistant Principal Ms. Allison Alpaugh Teaching staff 47.00 (FTE) Enrollment 687 (2023-2024) Capacity c.700 Student to teacher ratio 14.62
Woodbridge High School (Delaware)
Woodbridge_High_School_(Delaware)
Term in electrical engineering
In an electrical grid, the short circuit ratio (or SCR) is the ratio of: the short circuit apparent power (SCMVA) in the case of a line-line-line-ground
Short circuit ratio (electrical grid)
Short_circuit_ratio_(electrical_grid)
American reality television series episodes
bottom line is at $150,000, a price that Rick is not willing to pay. 102 14 "Sharpe Shooters" June 1, 2011 (2011-06-01) Rick and Sean Rich travel to Ashman's
List_of_Pawn_Stars_episodes
Country in East Asia
Development: The Religious and Historical Roots of Entrepreneurship. M.E. Sharpe. ISBN 978-1-56324-846-7. OL 979742M. p. 10 三年小反五年大亂. 台灣海外網 (in Chinese (Taiwan))
Taiwan
English computer scientist (1912–1954)
Marcon, L.; Bastida, M.F.; Junco, M.; Quintana, L.; Dahn, R.; Kmita, M.; Sharpe, J.; Ros, M.A. (2012). "Hox Genes Regulate Digit Patterning by Controlling
Alan_Turing
Vehicle propelled by ejection of gases
Mass ratio is, for any 'burn', the ratio between the rocket's initial mass and its final mass. Everything else being equal, a high mass ratio is desirable
Rocket
Reciprocating internal combustion engine
Bore is 81 mm (3.2 in) and stroke is 77 mm (3.0 in) with a compression ratio of 10.5:1. It is naturally aspirated with a power output of 105 PS (77 kW;
Volvo_Modular_Engine
SI unit of luminous intensity
functions". "Judd–Vos modified CIE 2-deg photopic luminosity curve (1978)". Sharpe, Stockman, Jagla & Jägle (2005) 2-deg V*(l) luminous efficiency function
Candela
Archipelagic country in Southeast Asia
Land: Continuity and Change in Philippine Politics. Armonk, N.Y.: M.E. Sharpe. ISBN 978-981-3035-86-7. Archived from the original on February 18, 2023
Philippines
Class of chemical compounds
n-6/n-3 ratio exert suppressive effects. However, it is found impotent, that this low ratio, should change a bit, depending on disease, as the ratio of 2
N-Acylethanolamine
Country in South America
Encounter: Native Peoples and European Settlers in the Americas, 1492–1800. M.E. Sharpe. p. 84. ISBN 978-0-7656-0982-3. Archived from the original on 15 February
Brazil
Swiss mathematician (1707–1783)
popularizing the Greek letter π {\displaystyle \pi } (lowercase pi) to denote the ratio of a circle's circumference to its diameter, as well as first using the
Leonhard_Euler
Public, coeducational high school in Beachwood, , Ohio, United States
code 361193 Principal Rebekah Sharpe Staff 40.00 (FTE) Grades 9-12 Enrollment 586 (2023–2024) Student to teacher ratio 14.65 Colors White and Gold
Beachwood_High_School
High school in Essex County, New Jersey, US
students and 51.5 classroom teachers (on an FTE basis), for a student–teacher ratio of 11.9:1. There were 380 students (62.2% of enrollment) eligible for free
Newark_Arts_High_School
Finance model linking expected return to systematic risk
CAPM was introduced by economists Jack Treynor (1961, 1962), William F. Sharpe (1964), John Lintner (1965) and Jan Mossin (1966) independently, building
Capital_asset_pricing_model
Country in West Asia
Terrorism Ahead: Confronting Transnational Violence in the Twenty-First. M. E. Sharpe. p. 27. Louis, William Roger (1986). The British Empire in the Middle East
Israel
Country in Eurasia from 1922 to 1991
Russia's Uncertain Economic Future: With a Comprehensive Subject Index. M.E. Sharpe. p. 233. ISBN 978-0-7656-1208-3. Archived from the original on 12 May 2015
Soviet_Union
Country in Eastern Europe
Taras: Contemporary Ukraine: Dynamics of Post-Soviet Transformation, M.E. Sharpe, 1998, ISBN 0-7656-0224-5 Kuzio, Taras. Ukraine: State and Nation Building
Ukraine
Domesticated species of canid
Josepha (2008). Storytelling: An Encyclopedia of Mythology and Folklore. Sharpe Reference. pp. 118–121. ISBN 978-0-7656-8047-1. Mallory JP, Adams D (2006)
Dog
Russia at the barricades: eyewitness accounts of the August 1991 coup. M.E. Sharpe, 1994, p92 Condee, Nancy. Soviet hieroglyphics: visual culture in late twentieth-century
List_of_Russian_flags
American economist and Nobel Laureate (1923–2000)
in Economic Sciences in 1990, along with Harry Markowitz and William F. Sharpe. Miller spent most of his academic career at the University of Chicago's
Merton_Miller
travel, tourism, insurance
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travel, tourism, insurance