The Sharpe Ratio was developed by William Forsyth Sharpe. The
Sharpe Ratio allows one to measure the risk premium of an
investment asset and is commonly used in banking and finance.
The Sharpe Ratio was developed by William Forsyth Sharpe. The
Sharpe Ratio allows one to measure the risk premium of an
investment asset and is commonly used in banking and finance.
View page
The portfolio with the highest Sharpe ratio is on the efficient
frontier, according CAPM.
The Excel spreadsheet at the related link allows you to
calculate a Sharpe optimal portfolio
View page
The related link provides an excel template and some notes on
how to calculate the sharpe ratio..pretty simple and effective.
View page
Vanguard Wellesley Fund (VWINX) has a 3 year Sharpe ratio of
over 2 and a Sortino ratio over 6. That's the best I've come
across.
View page
The Sharpe Ratio for a portfolio of several investments is
maximized when the investment weights are adjusted such that the
expected return divided by the combined portfolio variance is
maximized.
See the related link for an Excel spreadsheet you explore this
concept it.