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The Sharpe ratio measures risk-adjusted return by comparing excess return to volatility. Higher ratios indicate better returns per unit of risk, useful for comparing investments.
Wzór
Sharpe ratio = (Portfolio return - Risk-free rate) / Standard deviation
Przewodnik krok po kroku
- 1Calculate average portfolio return
- 2Subtract risk-free rate (treasury yield)
- 3Divide by portfolio standard deviation (volatility)
Rozwiązane przykłady
Wejście
Return: 10%, Risk-free: 2%, Volatility: 15%
Wynik
Sharpe ≈ 0.53
(0.10 - 0.02) / 0.15
Częste błędy do unikania
- ✕Ignoring risk-free rate
- ✕Using realized volatility instead of forward estimates
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