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The Journal of Portfolio Management, 1994
. 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.
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. 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.
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Sharpe Ratios, Target Ratios, and Return Goals
The Journal of Portfolio Management, 2020Some form of success estimation is present in virtually all decision-making processes. In most cases, estimations are implicit and judgmental. However, in certain data-rich areas, success prospects can be sharpened into probabilities. Although funds may settle for an expected return that equals some fixed target return, that match results in only a 50%
Martin L. Leibowitz, Stanley Kogelman
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SSRN Electronic Journal, 1999
Sharpe's (1966) portfolio performance ratio, the ratio of the portfolio’s expected return to its standard deviation, is a very well known tool for comparing portfolios. However, due to the presence of random denominators in the definition of the ratio, the sampling distribution of the Sharpe ratio is somewhat difficult to determine.
Hrishikesh D. Vinod, Matthew R. Morey
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Sharpe's (1966) portfolio performance ratio, the ratio of the portfolio’s expected return to its standard deviation, is a very well known tool for comparing portfolios. However, due to the presence of random denominators in the definition of the ratio, the sampling distribution of the Sharpe ratio is somewhat difficult to determine.
Hrishikesh D. Vinod, Matthew R. Morey
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BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
International Journal of Theoretical and Applied Finance, 2023Bernard et al. [(2019) Optimal strategies under omega ratio, European Journal of Operational Research 275 (2), 755–767] use convex ordering arguments to determine the bounded payoff for maximizing the omega ratio. However, it appears difficult to apply such reasoning to estimate the bounded payoff for maximizing the Sharpe ratio.
JIANG YE +2 more
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Testing equality of modified Sharpe ratios
Finance Research Letters, 2014The modified Sharpe ratio is commonly used to evaluate the risk-adjusted performance of an investment with non-normal returns, such as hedge funds. In this note, a test for equality of modified Sharpe ratios of two investments is developed. A simulation study demonstrates the good size and power properties of the test.
Ardia, David, Boudt, Kris
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SSRN Electronic Journal, 2007
Investors often consider Sharpe ratios when making portfolio decisions. Given sampling error in estimated means and variances of returns, simplistic use of Sharpe ratios when choosing between portfolios is extremely ill-advised. In practice, the error in the estimate of the Sharpe ratio will almost certainly be too large to distinguish between the ...
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Investors often consider Sharpe ratios when making portfolio decisions. Given sampling error in estimated means and variances of returns, simplistic use of Sharpe ratios when choosing between portfolios is extremely ill-advised. In practice, the error in the estimate of the Sharpe ratio will almost certainly be too large to distinguish between the ...
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Sharpe Ratio: International Evidence
SSRN Electronic Journal, 2016There is no overall consensus about which measure is the most suitable for evaluating portfolios’ performance. Despite being affected by some of the statistical characteristics of returns, Sharpe ratio is the most widely used measure for portfolio performance evaluation.
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Could Omega Ratio Perform Better than Sharpe Ratio?
SSRN Electronic Journal, 2018In this paper, we will investigate whether there is any Sharpe ratio rule or Omega ratio rule that can be used to show that one asset outperforms another asset if it has a higher Sharpe ratio and/or Omega ratio. We find that Sharpe ratio rule could not detect preference of both risk averters and risk seekers in some strong dominance cases.
Xu Guo +3 more
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SSRN Electronic Journal, 2014
The Deflated Sharpe Ratio (DSR) corrects for two leading sources of performance inflation:* Non-Normally distributed returns.* Selection bias under multiple testing.
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The Deflated Sharpe Ratio (DSR) corrects for two leading sources of performance inflation:* Non-Normally distributed returns.* Selection bias under multiple testing.
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Beyond Sharpe ratio: Optimal asset allocation using different performance ratios
Journal of Banking & Finance, 2008Abstract As the assumption of normality in return distributions is relaxed, classic Sharpe ratio and its descendants become questionable tools for constructing optimal portfolios. In order to overcome the problem, asymmetrical parameter-dependent performance ratios have been recently proposed in the literature.
Farinelli S +4 more
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