Definition: Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named ...

For example, imagine a portfolio with an annual return of 9%, a risk-free rate of 3% and a beta of 1.2. The Treynor ratio would be calculated as follows: Treynor ratio = (9 – 3) / 1.2 = 0.5 ...

It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the ...

How does one compare different investments that may deliver similar results on average, but exhibit different levels of risks? Enter William Sharpe. He introduced the reward-to-variability ratio in ...

which is a discounted cunmulated sum of all one-step reward. However, such object function does not take market risk into consideration. The simplest benchmark to ...

While the Sharpe ratio evaluates risk-adjusted returns and ... Plot the cumulative returns on a graph and fit a linear regression line through the data points. The slope of this line represents ...

Ether (ETH), TRX, IOTA have all performed well in past 30 days according to Sharpe ratio. - Bitcoin (BTC) has performed poorly during same time period, even when compared to US Treasury Bills. The ...

Sharpe Ratio,Stability Conditions,Stock Market,Stock Prediction, Jiwen Huang (Member, IEEE) received the BS degree from the China University of Petroleum, in 2015. He is currently working toward the ...