Sharpe ratio

GPTKB entity

Statements (23)
Predicate Object
gptkbp:instanceOf financial metric
gptkbp:alsoKnownAs gptkb:Sharpe_index
gptkbp:category gptkb:market
finance
statistics
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 ratio
gptkbp:introducedIn 1966
gptkbp:measures risk-adjusted return
gptkbp:publishedIn gptkb:Journal_of_Finance
gptkbp:relatedTo gptkb:Sortino_ratio
gptkb:Treynor_ratio
Information ratio
gptkbp:RFC risk-free rate
gptkbp:Rp return of portfolio
gptkbp:usedIn investment analysis
portfolio management
gptkbp:σp standard deviation of portfolio return
gptkbp:bfsParent gptkb:William_Sharpe
gptkbp:bfsLayer 5