What is the best way to quantify an investment’s risk? The answer is still open to debate, and the Sharpe and Sortino Ratios reflect two separate camps of thought.
One of the most commonly used measurements of risk is variance, the dispersion of an investment’s returns from their mean. In the calculation of this value, no … Continue Reading

Interpreting the Sharpe ratio
When interpreting the value of an investment’s Sharpe ratio, it is important to understand the formula behind the number. In this discussion, we will take a closer look at the basic analytics behind the Sharpe ratio, and then consider the effect that each component may have on the calculation.
Although the Sharpe ratio … Continue Reading