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Sharpe ratio
The Sharpe ratio is a measure of risk-adjusted performance of an investment asset, or a trading strategy. It is defined as:
-
,
where < R > is the expected value of asset return, Rf is an expected return of another "standard" asset, such as the risk free rate of return, and σ is the standard deviation of the asset returns.
The ratio was developed by William Forsyth Sharpe.
See also
External link
10-26-2009 08:16:03
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The contents of this article is licensed from www.wikipedia.org under the GNU Free Documentation License. Click here to see the transparent copy and copyright details