Statements (23)
Predicate | Object |
---|---|
gptkbp:instanceOf |
financial metric
|
gptkbp:alsoKnownAs |
gptkb:Sharpe_ratio
|
gptkbp:category |
performance ratio
|
gptkbp:developedBy |
gptkb:William_F._Sharpe
|
gptkbp:form |
(Rp - Rf) / σp
|
gptkbp:hasUnit |
per unit of risk
|
https://www.w3.org/2000/01/rdf-schema#label |
Sharpe index
|
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:relatedTo |
gptkb:Sortino_ratio
gptkb:Treynor_ratio |
gptkbp:RFC |
risk-free rate
|
gptkbp:Rp |
portfolio return
|
gptkbp:usedBy |
investors
portfolio managers |
gptkbp:usedFor |
comparing investment performance
|
gptkbp:valuation |
better risk-adjusted performance
|
gptkbp:σp |
standard deviation of portfolio return
|
gptkbp:bfsParent |
gptkb:Sharpe_ratio
|
gptkbp:bfsLayer |
6
|