Sharpe Ratio

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

 
 

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