abhishreshthaa
Abhijeet S
Sharpe Ratio
A risk-adjusted measure developed by William F. Sharpe
Calculated using standard deviation and excess return to determine reward per unit of risk
It reflects the extra return over the Risk-Free return per unit of its variability
The higher the Sharpe ratio, the better the fund's performance in relation.
= Return Of Portfolio (Hpr) - Risk Free Return
Standard Deviation
Calculating Sharpe ratio
90 day T-bill rate: 7%
Benchmark
(12-7)/10 = 0.5
Fund
(16-7)/12 = .75
Fund out-performs the benchmark on a risk-adjusted basis
A risk-adjusted measure developed by William F. Sharpe
Calculated using standard deviation and excess return to determine reward per unit of risk
It reflects the extra return over the Risk-Free return per unit of its variability
The higher the Sharpe ratio, the better the fund's performance in relation.
= Return Of Portfolio (Hpr) - Risk Free Return
Standard Deviation
Calculating Sharpe ratio
90 day T-bill rate: 7%
Benchmark
(12-7)/10 = 0.5
Fund
(16-7)/12 = .75
Fund out-performs the benchmark on a risk-adjusted basis