Tag Archives: sharpe ratio
Sharpe and Sortino Ratios
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 distinction is made between […]
Sharpe Ratio Definitions
Interpreting the Sharpe ratio When interpreting the value of a hedge fund or other 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 […]
