Sharpe Index

GPTKB entity

Statements (24)
Predicate Object
gptkbp:instanceOf financial metric
gptkbp:alsoKnownAs gptkb:Sharpe_Ratio
gptkbp:appliesTo mutual funds
hedge funds
investment portfolios
gptkbp:category performance measure
gptkbp:developedBy gptkb:William_F._Sharpe
gptkbp:form (Rp - Rf) / σp
gptkbp:hasUnit dimensionless
gptkbp:higherValueIndicates better risk-adjusted performance
https://www.w3.org/2000/01/rdf-schema#label Sharpe Index
gptkbp:limitation sensitive to outliers
assumes returns are normally distributed
uses standard deviation as risk measure
gptkbp:measures risk-adjusted return
gptkbp:publishedIn 1966
gptkbp:relatedTo gptkb:Sortino_Ratio
gptkb:Treynor_Ratio
gptkbp:RFC risk-free rate
gptkbp:Rp expected portfolio return
gptkbp:usedIn portfolio management
gptkbp:σp standard deviation of portfolio return
gptkbp:bfsParent gptkb:Sharpe_Ratio
gptkbp:bfsLayer 7