A measure of performance developed by William F. Sharpe, calculated using standard deviation and excess return (above the guaranteed return of the 90-day Treasury Bill rate) to determine reward per unit of risk. The higher the Sharpe ratio, the better the fund's historical risk-adjusted performance.
This measure quantifies a fund's return in excess of a guaranteed investment (the 90-day T-bill), relative to its risk. However, unlike alpha, which is calculated using beta as a risk measure, the Sharpe ratio uses standard deviation as its volatility component. The higher its Sharpe ratio, the better a fund's returns have been relative to the amount of investment risk it has taken.
This ratio is commonly used as a measure of risk adjusted return. This ratio is calculated using the formula, (portfolio return minus risk free return)/standard deviation of portfolio return. The return on the Vanguard® Prime Money Market Fund is used as a measure of risk free return. Higher Sharpe Ratio implies superior risk-adjusted performance. More on Model Portfolio Sharpe Ratios
The ratio of the return a portfolio provides over a benchmark to its risk (as measured by the standard deviation of expected returns).... more on: Sharpe ratio
The Sharpe ratio is a measure of what is called, risk-adjusted return, and is used by investors and fund mangers to assess the relative performance of (usually) alternative investment products. The Sharpe ratio is calculated by dividing the excess return on the fund, over and above the risk-free rate of return (on cash, for example), by the amount of risk that manager has taken to generate the excess return, which is measured by the annualised standard deviation of returns. In simple terms, it represents the return generated by the manager’s skill, compared with the amount of risk taken in the process. Or put yet another way, it indicates the unit of return per unit of risk. Most investors look for a Sharpe ratio above 1, which indicates that the manager is generating one unit of return for every one unit of risk taken. A Sharpe ratio of 2 indicates that two units of return are generated for every one unit of risk. A Sharpe ratio of less than 1 either indicates a negative return, or that a large amount of risk was taken to generate a positive return.
Measure of the performance of a portfolio after adjusting for risk. Developed by Stanford Professor William F. Sharpe, 1990 Nobel laureate, the Sharpe ratio is based on expected return, the interest rate of a riskless investment (U. S. Treasury bills), and standard deviation. The higher the Sharpe ratio, the better the portfolio's performance compared to a riskless investment over the same time period. You can look up the Sharpe ratio for a mutual fund in the Vision Mutual Fund Center, and you can also use it as a mutual fund screening criterion. See also alpha, beta, Modern Portfolio Theory, and R-squared.
Measures the risk/performance relationship of a fund, i.e. the reward obtained in terms of the risk taken on. The higher the Sharpe ratio, the better the relationship between the expected benefits in terms of the risk taken on.
a measure of return gained per unit of risk taken
analyses the return above the risk free rate of return in a portfolio and is usually taken as being the return on US Treasury Bills
The Sharpe Ratio is a risk adjusted measure of how well a mutual fund performs by calculating the excess returns of a fund beyond that of an investment that is risk free.
The ratio of return above the minimum acceptable return (risk-free rate) divided by the standard deviation, or volatility. It provides information of the return per unit of risk, as defined by volatility.
A risk/return measurement ratio comparing return with the variability of return. The formula is E-I/sd, where E=expected return, I=risk free interest rate and sd=standard deviation of returns.
A ratio developed by Bill Sharpe that is calculated by subtracting the risk free rate from the rate of return for a portfolio and dividing it by the standard deviation of the portfolio returns. It tells us whether the returns of the portfolio were because of smart investment decisions or by excess risk.
One way to compare the relationship of risk and reward in following different investment strategies, such as emphasizing growth or value investments, is to use the Sharpe ratio. To figure the ratio, you subtract the risk-free return from the average return of an investment portfolio made up of these investments over a period of time, and then divide the result by the standard deviation of the return. A strategy with a higher ratio is less risky than one with a lower ratio. This approach is named for William P. Sharpe, who won the Nobel Prize in economics in 1990.
The Sharpe ratio measures the risk-adjusted return of a fund. Simply put, the ratio measures the variability of ' excess returns' (defined by returns of the fund over the 'risk less' 91 day T-bill). Mathematically, the formula takes a fund's return in excess of a risk-free investment and divides this by the standard deviation of the returns. The higher the Sharpe ratio, the better the fund
Ratio named after Nobel prize laureate William Sharpe. Corresponds to the excess return of a fund or portfolio relative to the risk-free interest rate in relation to the risk assumed, expressed in terms of standard deviation. This statistic also allows different investments to be compared with one another, albeit only in the case of positive excess returns.
The ratio of annualized return minus the annualized risk-free rate divided by the annualized standard deviation of the portfolio minus the annualized standard deviation of the risk-free rate. It is a measure of the risk to return trade-off.
A measure of risk-adjusted return. It measures the return of the fund over and above the return on the risk-free asset (defined as the three-month Treasury Bill) per unit of risk (defined as the standard deviation of the fund's return). The purpose of the measure is to determine whether the fund's risk is justified by the additional return generated. The larger the Sharpe ratio, the better the manager's performance.
The risk-adjusted excess return on a portfolio, i.e., S = (P - r)/, where P = the return on the portfolio, r = the 'risk free' rate and = the standard deviation of P.
A measure of the risk-adjusted return of an investment. The ratio was derived by Prof. William Sharpe of Stanford University who was one of three economist who received the Nobel Prize in Economics in 1990 for their contributions to what is now called "Modern Portfolio Theory". The higher the Sharpe ratio, the more efficient the investment.
A ratio to measure risk-adjusted performance, calculated by subtracting the risk free rate from the rate of return for a portfolio, and dividing the result by the Standard Deviation of the portfolio returns.
Developed by William Sharpe, a measure used to determine the return received per unit of risk. The higher the ratio, the less risk the investment strategy has generated. The ratio provides an indication of whether the returns were generated from manager skill or risk taking.
A risk-adjusted measure, developed by William F. Sharpe, calculated using standard deviation and excess returns to determine reward, per unit of risk. The higher the Sharpe ratio, the better the fund's historical risk-adjusted performance. The Sharpe ratio tells us whether the returns of a portfolio are due to smart investment decisions or a result of excess risk.
Annualised performance of a given portfolio less the performance of a (risk-free rate) risk-free asset (usually the short-term interest rate) divided by the annualised volatility of the portfolio. The Sharpe ratio shows the real interest of an investment that involves risk as opposed to a risk-free investment (eg rate paid on a savings account)
A measure of a portfolio's excess return relative to the total variability of the portfolio.
A measure of risk-adjusted return. To calculate a Sharpe ratio, an asset's excess returns (its return in excess of the return generated by risk-free assets such as Treasury bills) are divided by the asset's standard deviation.
A risk-adjusted measure developed by Nobel Laureate William Sharpe. It is calculated by using standard deviation and excess return to determine reward per unit of risk. Thus, the higher the Sharpe Ratio, the better a fund's historical risk-adjusted performance.
The Sharpe ratio, developed by Nobel Laureate William Sharpe, is a risk-adjusted measure. The higher the ratio, the better the risk-adjusted performance. Using standard deviation and excess return, the reward per unit of risk is calculated. The average monthly return of the 90-day Treasury bill over a 36-month period is first subtracted from the fund's average monthly return. The difference in total return represents the fund's excess return beyond that of the 90-day Treasury bill, a risk-free investment. By multiplying this monthly return by 12 the arithmetic annualized excess return is calculated. This number is then divided by the standard deviation of the fund's annualized excess returns to show a relationship between excess return and risk.
This is calculated by dividing the returns in excess of the 90-day T-bill rate by the standard deviation of those returns for a given time frame. This calculation results in a figure that determines reward per unit of risk. A high Sharpe ratio reflects a strong historical risk-adjusted performance.
A measure of a fund’s historical returns adjusted for risk or volatility. The calculation is fund return minus the return on 3-month treasury bills divided by the fund standard deviation.
Annualized measure of the monthly return above the risk free rate per unit of return volatility. Sharpe Ratios larger than one indicate a strong rate of return in terms of volatility (standard deviation).
The Sharpe ratio is the relative measure of a portfolio's return-to-risk ratio. It is calculated as the return above the risk-free rate divided by its standard deviation. TRp - RF= TRp = portfolio's total return RF = risk-free rate σp = portfolio's standard deviation
A risk-adjusted measure of return. Calculated by dividing the annualized excess return of a portfolio by its total risk.
The Sharpe Ratio is a risk-adjusted financial measure that uses a mutual fund's standard deviation and excess return to determine the reward per unit of risk. The better a fund's risk-adjusted performance, the higher it's Sharpe ratio. The measure was developed by Nobel Laureate William Sharpe. It often is misapplied to futures trading where there is no investment, which makes the ratio meaningless.
A risk-adjusted performance measure developed by William Sharpe. It is calculated by taking the annualized return of a mutual fund that is in excess of the risk-free rate and dividing it by the standard deviation of returns. The higher the Sharpe Ratio, the better the fund's historical risk-adjusted performance
The excess return of the portfolio over a comparable risk free rate of return divided by the standard deviation the portfolio return.
Sharpe ratio measures the reward for taking risk (measured in terms of volatility). The rationale being that a fund manager should attain at least the ‘risk-freeâ€(tm) return and consequently the reward for taking risk should be adjusted to exclude this component of a fundâ€(tm)s performance. This equates to the ‘excess return per unit risk takenâ€(tm). The sharpe ratio is calculated by subtracting the ‘risk-freeâ€(tm) rate (e.g. 3 month LIBOR US$) from a fundâ€(tm)s (e.g. US$ Equity Fund) annualised return and dividing this by the fundâ€(tm)s annual volatility.
Sharpe is a measure of the portfolio returns compared to total risk. A higher value indicates greater return per unit of risk. Risk in this calculation is provided by the portfolio's Standard Deviation. Sharpe ratios cannot stand alone, and can only be effective when used in comparison to other portfolio's or securities.
A return on risk ratio named after Nobel laureate and Stanford University professor William F. Sharpe. The Sharpe ratio is defined as annual return minus risk free rate divided by standard deviation of return.
A risk-adjusted measurement of fund performance. Sharpe ratio is calculated by dividing the excess return of a fund over the risk-free rate (Treasury bonds) by its standard deviation. The higher the Sharpe ratio, the better a fund's risk-adjusted performance.
Sharpe Ratio is way to measure investment risk in relationship to investment return. It shows how much more investment value a fund or portfolio is giving an investor while taking into consideration the level of volatility or risk the portfolio contains. The equation is: (Portfolio realized return - risk free rate)/standard deviation of the portfolio. The risk free rate is typically measured by the 90 day T-Bill rate. In other words an investor can go and purchase 90 day Treasury Bills with basically zero risk while earning a certain return. So if an investor starts to acquire Large Cap Stocks to his portfolio which are much more risky and volatile is the asset class worth the amount of risk the investor will now incur. Sharpe Ratio is a great way to measure how efficient an investment portfolio is. The higher the number the better
The Sharpe ratio measures a funds risk adjusted return. It is calculated as follows: (FUND's RETURN - TREASURY BILL RETURN) / FUND'S STANDARD DEVIATION When a fund is a municipal bond, the Treasury bill return is adjusted to reflect the tax treatment of the municipal bond fund. This measure is used in the S&P fund ranking.
The amount of return (renumeration) a fund generates per unit of risk. It is calculated by subtracting the performance of the risk free rate (T-bills) from the fund's performance, and by dividing the result by it's volatility (standard deviation). The higher the ratio, the more the fund returns for the risk taken. If negative, it means the fund performed lower than the risk-free rate (T-bills). The objective is to assess the added value of the manager who can offer more return corrected by risk. This is accomplished by subtracting the benchmark's Sharpe ratio from the fund's Sharpe ratio.
a measure of risk-adjusted performance. It is calculated by dividing a fund's annualized return in excess of the risk-free rate of return by its annualized standard deviation over a fixed period of time (usually 3 years). The higher the sharpe ratio, the better its performance has been, considering the amount of risk it has assumed.
The portfolio's excess return (relative to the risk free rate) divided by the standard deviation of the portfolio's excess return.
A statistic that measures the performance of a fund adjusted for risk. The higher the ratio, the better the performance for a given level of risk.
A measure of how well a fund is rewarded for the risk it incurs. The higher the ratio, the better the return per unit of risk taken. It is calculated by subtracting the risk-free rate from the fund's annualized average return, and dividing the result by the fund's annualized standard deviation. A Sharpe ratio of 1:1 indicates that the rate of return is proportional to the risk assumed in seeking that reward. Developed by Prof. William R. Sharpe of Stanford University.
The Sharpe ratio measures the annual excess return of a fund (compared to the risk-free rate) per unit of risk. It is equal to the y-o-y performance of the fund less the risk-free return, all divided by the standard deviation of the fund. The higher the ratio, the better the fund. The fund's Sharpe ratio should then be compared to that of the benchmark. If the fund's ratio is higher than that of the benchmark, then the fund is performing well. The Sharpe ratio is no longer relevant.
A ratio calculated by subtracting the risk-free (Treasury bill) rate from a portfolio's total return and then dividing this by its standard deviation. Because the numerator is the portfolio's risk premium, the resulting faction indicates the risk premium return earned per unit of total risk. It measures the reward-to-risk efficiency of an investment. The Sharpe ratio seeks to measure the total risk of the portfolio by including the standard deviation of returns rather than considering only the systematic risk by using beta. In general, a higher Sharpe ratio suggests stronger risk-adjusted performance.
A measure of the reward per unit of risk over an observation period. The numerator of the sharpe ratio is the difference between the portfolio’s geometric return and the geometric mean return of the risk free instrument. Zephyr uses the Solomon Brothers 3 month T-Bill as the risk free rate. The denominator is the portfolio’s standard deviation. In general, funds with higher sharpe ratios have better risk-adjusted historical returns.
A measure of the return above the risk free rate per return unit of return, usually calculated as the annualised rate of return minus the rate of return on a "risk free" investment divided by the annualised monthly standard deviation. The higher the value the better the risk adjusted returns of that fund manager and an indication of the manager's ability at controlling volatility whilst delivering investment returns.
The Sharpe ratio measures the fund's risk adjusted return. It is calculated by deducting a "risk free" return (normally the rate of interest paid on US Treasury Bills or in the UK, the Halifax savings rate paid for £25,000) from the fund's three year performance and then dividing this by the fund's standard deviation (frequently referred to as "volatility"). The relevant equation being: Fund's Return - Treasury Bill /Savings Rate Return [divided by] Fund's Standard Deviation. When the fund is a municipal bond fund, the Treasury bill return is adjusted to reflect the tax treatment of the municipal bond fund.
A statistical measure which attempts to show the performance of a portfolio's return in risk adjusted terms. It is calculated by dividing the portfolio's excess return over the risk-free rate by the risk (i.e. standard deviation) of portfolio returns. The higher the Sharpe Ratio, the better the portfolio's return in risk adjusted terms. A Sharpe Ratio higher than one can be considered to be very good, while a ratio below 0.1 shows that the portfolio has been poorly rewarded for the risk undertaken.
A measure of the excess return earned on a portfolio (versus cash) per unit of absolute risk (standard deviation).
The Sharpe ratio allows comparison of risk/return between two or more investments. Higher Sharpe ratios are preferable to lower ones. An investment's Sharpe ratio is its return over the risk-free rate (such as the 90-day US Treasury Bill rate) divided by its volatility.
The Sharpe Ratio is a measure of risk-adjusted performance. It measures the excess return earned per unit of risk taken. Annualized Sharpe Ratio converts the monthly ratio to an annual figure.
This statistic is a commonly-used measure of risk-adjusted return. It is calculated by subtracting the Risk-Free Return (the return of a Treasury Bill) from the portfolio return and dividing the resulting excess return by the portfolio's total risk level (standard deviation). A Sharpe ratio is calculated for a given period of time, e.g. a portfolios' excess return over 5 years is divided by its standard deviation over that same 5-year period of time. The result is a risk-adjusted rate of return. The higher the Sharpe ratio, the better the investment portfolio's historical risk-adjusted performance.
A measurement of trading performance calculated as the average return divided by the variance of those returns; named after William P. Sharpe.
A measure of risk developed by Nobel Laureate William Sharpe. Calculated by dividing the returns in excess of the 90-day T-bill rate by the standard deviation of those returns for a given time period.
A measure of the return above the risk free rate per return unit of return, usually calculated as the annualised rate of return minus the rate of return on a “risk free†investment divided by the annualised monthly standard deviation. Also known as the reward-to-variability ratio (RVAR).
Developed by Nobel Prize winner William Sharpe, the Sharpe ratio measures a fund's historical risk-adjusted performance. A higher number indicates better historical risk-adjusted performance.
The Sharpe ratio is a measure of risk-adjusted performance of an investment asset, or a trading strategy.