Ratio of Sharpe
The ratio of Sharpe measurement the variation of Profitability of a Wallet of financial credit (action S for example) compared to the yield of a placement without risk (in other words the Allowance for risk, positive or negative), divided by an indicator of Risk, the standard deviation of the profitability of this wallet (in other words its Volatility).
Formally, where is the yield of the wallet considered, being the selected reference frame of comparison (in general the rate of placement without risk), and the standard deviation of the yield of the wallet considered.
To simplify, it is an indicator of the Rentabilité (marginal) obtained per unit of Risque taken in this management. It makes it possible to answer the following question: does the manager manage to obtain an output higher than the reference frame, but with more risk?
If the ratio is negative, the wallet performé less than the reference frame (they is very bad).
If the ratio lies between 0 and 1, on-output of the wallet considered compared to the reference frame is done for a too high taking risk. Or, the risk taken is too high for the output obtained (it is not terrible).
If the ratio is higher than 1, the output of the wallet on-performe the reference frame for a taking risk ad hoc. In other words, on-performance is not done at the price of a too high risk (they is good).
An alternative is the Ratio of Sortino, which takes for indicator of risk the negative volatility (thus which takes into account only the falls of course, whereas complete volatility holds account as much rises that falls)
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