What is a good Sharpe ratio?

June 27, 2015

(This article was first published on Win-Vector Blog » R, and kindly contributed to R-bloggers)

We have previously written that we like the investment performance summary called the Sharpe ratio (though it does have some limits). What the Sharpe ratio does is: give you a dimensionless score to compare similar investments that may vary both in riskiness and returns without needing to know the investor’s risk tolerance. It does this … Continue reading What is a good Sharpe ratio?

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