Sharpe ratio

A measure of a portfolio's excess return relative to the total variability of the portfolio. Related: treynor index
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A ratio of reward to variability developed by William F. Sharpe to measure the performance of mutual funds without regard to their correlation to other assets in an investor's portfolio. It is generally calculated as Rate of Return minus Risk-free Rate of Return divided by Standard Deviation for the period. The CENTER ONLINE Futures Glossary
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A measure of a portfolio's excess return ( excess returns) relative to the total variability of the portfolio. Related: Treynor index . Named after William Sharpe, Nobel Laureate, and developer of the capital asset pricing model. Bloomberg Financial Dictionary

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   A way of deciding whether returns are produced by intelligent investment decisions or by accepting excess risk. It measures the return of an investment compared with investment in government bonds, which are regarded as virtually risk free because the government in theory always repays its debts. The Sharpe Ratio is calculated by subtracting the rate of return on government securities from the rate of return on a portfolio, and then dividing the difference by the standard deviation of the portfolio's returns.

Financial and business terms. 2012.

Look at other dictionaries:

  • Sharpe ratio — The Sharpe ratio or Sharpe index or Sharpe measure or reward to variability ratio is a measure of the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk (and is a… …   Wikipedia

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  • Sharpe Ratio — A ratio developed by Nobel laureate William F. Sharpe to measure risk adjusted performance. The Sharpe ratio is calculated by subtracting the risk free rate such as that of the 10 year U.S. Treasury bond from the rate of return for a portfolio… …   Investment dictionary

  • sharpe ratio —   Misura la ricompensa per aver preso dei rischi dove il rischio è misurato in temini di volatilità …   Glossario di economia e finanza

  • Sharpe ratio — …   Useful english dictionary

  • Modified Sharpe Ratio — A ratio used to calculate the risk adjusted performance of an asset or a business strategy. The modified Sharpe ratio is a version of the original Sharpe ratio amended to include skewed/abnormal data. It is calculated by dividing the excess… …   Investment dictionary

  • Sharpe (surname) — Sharpe is a surname, and may refer to:Fictional characters: * Miriam Sharpe, a fictional character, in the Marvel Comics universe * Richard Sharpe (fictional character), fictional central character in the novel and television series Sharpe People …   Wikipedia

  • Sharpe — ist: Sharpe, Originaltitel der Fernsehserie Die Scharfschützen Sharpe ist der Familienname folgender Personen: Claire Sharpe (* um 1955), kanadische Badmintonspielerin Cornelia Sharpe (* 1947), US amerikanische Schauspielerin D. Sharpe… …   Deutsch Wikipedia

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