Sharpe Ratio

The Sharpe Ratio of a manager series is the quotient of the annualized excess return of the manager over the cash equivalent and the annualized standard deviation of the manager return.

    Sharpe Ratio = (AnnRtn(r1, ..., rn) - AnnRtn(c1, ..., cn)) / AnnStdDev(r1, ..., rn)

where:

    r1, ..., rn = manager return series
    c1, ..., cn = cash equivalent return series

The Sharpe Ratio is a risk-adjusted measure of return which uses standard deviation to represent risk.

To view our quick tip video on Sharpe Ratio, click the following link: http://www.styleadvisor.com/sites/default/files/quick_tip_video/sharpe_r....

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