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A Critique of the Sharpe Ratio

发表于: 2006-11-02   作者:cookoo   来源:转载   浏览:
摘要: Author: David Harding, Winton Capital Management The Sharpe ratio is a statistic which aims to sum up the desirability of a risky investment strategy or instrument by dividing the average period re
Author: David Harding, Winton Capital Management

The Sharpe ratio is a statistic which aims to sum up the desirability of a risky investment strategy or instrument by dividing the average period return in excess of the risk-free rate by the standard deviation of the return generating process. Devised in 1966 as a measure of performance for mutual funds, it undoubtedly has some value as a measure of strategy "quality" but it also has several crucial limitations. Furthermore, its widespread and often indiscriminate adoption as a quality measure is leading to distortion of proper investment priorities, as investment firms manipulate strategies and data to maximise it.

A Critique of the Sharpe Ratio

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