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Sharpe Ratio

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Sharpe Ratio - September 3rd, 2010

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
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