Sharpe index

GPTKB entity

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