Statements (28)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:financial_metric
|
| gptkbp:alsoKnownAs |
gptkb:Sharpe_Index
|
| gptkbp:application |
mutual funds
hedge funds asset allocation |
| gptkbp:category |
gptkb:market
finance statistics |
| gptkbp:form |
(Rp - Rf) / σp
|
| gptkbp:hasUnit |
dimensionless
|
| gptkbp:higherValueIndicates |
better risk-adjusted performance
|
| gptkbp:introducedIn |
1966
|
| gptkbp:limitation |
sensitive to outliers
assumes returns are normally distributed uses standard deviation as risk measure |
| gptkbp:measures |
risk-adjusted return
|
| gptkbp:namedAfter |
gptkb:William_F._Sharpe
|
| gptkbp:publishedIn |
gptkb:Journal_of_Business
|
| gptkbp:relatedTo |
gptkb:Sortino_Ratio
gptkb:Treynor_Ratio |
| gptkbp:RFC |
risk-free rate
|
| gptkbp:Rp |
expected portfolio return
|
| gptkbp:usedIn |
investment analysis
portfolio management |
| gptkbp:σp |
standard deviation of portfolio return
|
| gptkbp:bfsParent |
gptkb:Portfolio_Management
|
| gptkbp:bfsLayer |
7
|
| https://www.w3.org/2000/01/rdf-schema#label |
Sharpe Ratio
|