Cum se calculează Sharpe Ratio
Ce este Sharpe Ratio?
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.
Formulă
Sharpe ratio = (Portfolio return - Risk-free rate) / Standard deviation
Ghid pas cu pas
- 1Calculate average portfolio return
- 2Subtract risk-free rate (treasury yield)
- 3Divide by portfolio standard deviation (volatility)
Exemple rezolvate
Intrare
Return: 10%, Risk-free: 2%, Volatility: 15%
Rezultat
Sharpe ≈ 0.53
(0.10 - 0.02) / 0.15
Greșeli frecvente de evitat
- ✕Ignoring risk-free rate
- ✕Using realized volatility instead of forward estimates
Ești gata să calculezi? Încercați calculatorul gratuit Sharpe Ratio
Încercați singur →