Wat zegt de Sharpe-ratio?
De Sharpe-ratio is een meting van de naar risico gecorrigeerde prestatie van een investering of handelsstrategie. De Sharpe-ratio wordt gebruikt om te berekenen in hoeverre het extra rendement het extra risico compenseert. Hoe hoger de ratio, hoe hoger het extra rendement voor het additionele risico.
Hoe bereken je de Sharpe-ratio?
De Sharpe-ratio wordt berekend door de risicovrije rente af te trekken van het rendement van de portefeuille en dat resultaat te delen door de standaarddeviatie van het overtollige rendement van de portefeuille.
What is the Sharpe ratio and how is it calculated?
The Sharpe ratio reveals the average investment return, minus the risk-free rate of return, divided by the standard deviation of returns for the investment. Below is a summary of the exponential relationship between the volatility of returns and the Sharpe Ratio.
What is the ex post Sharpe ratio?
The ex post, or historic Sharpe Ratio (Sh) is: In this version, the ratio indicates the historic average differential return per unit of historic variability of the differential return. It is a simple matter to compute an ex post Sharpe Ratio using a spreadsheet program.
What is the Sharpe ratio of excess returns with standard deviation?
The mean of the excess returns is -0.0001642 and the (sample) standard deviation is 0.0005562248, so the Sharpe ratio is -0.0001642/0.0005562248, or -0.2951444. Example 3. Suppose that you currently have $250,000 invested in a portfolio with an expected return of 12% and a volatility of 10%.
What is the Sharpe ratio ofberkshire Hathaway?
Berkshire Hathaway had a Sharpe ratio of 0.76 for the period 1976 to 2011, higher than any other stock or mutual fund with a history of more than 30 years. The stock market had a Sharpe ratio of 0.39 for the same period.