Introduction

的年代harpe ratio is the ratio of the excess return of an asset divided by the asset's standard deviation of returns. The Sharpe ratio has the form:

(Mean − Riskless) / Sigma

HereMeanis the mean of asset returns,Risklessis the return of a riskless asset, andSigmais the standard deviation of asset returns. A higher Sharpe ratio is better than a lower Sharpe ratio. A negative Sharpe ratio indicates “anti-skill” since the performance of the riskless asset is superior. For more information, seesharpe.

Sharpe Ratio

To compute the Sharpe ratio, the mean return of the cash asset is used as the return for the riskless asset. Thus, given asset return data and the riskless asset return, the Sharpe ratio is calculated with

loadFundMarketCashReturns = tick2ret(TestData); Riskless = mean(Returns(:,3)) Sharpe = sharpe(Returns, Riskless)

which gives the following result:

Riskless = 0.0017 Sharpe = 0.0886 0.0315 0

的年代harpe ratio of the example fund is significantly higher than the Sharpe ratio of the market. As is demonstrated withportalpha, this translates into a strong risk-adjusted return. Since theCashasset is the same asRiskless,它是有意义的,它的夏普比率为0。的年代harpe ratio was calculated with the mean of cash returns. It can also be calculated with the cash return series as input for the riskless asset

Sharpe = sharpe(Returns, Returns(:,3))

which gives the following result:

Sharpe = 0.0886 0.0315 0

When using thePortfolioobject, you can use theestimateMaxSharpeRatiofunction to estimate an efficient portfolio that maximizes the Sharpe ratio. For more information, seeEfficient Portfolio That Maximizes Sharpe Ratio.