Información importante
La información de este sitio web está destinada únicamente a inversores profesionales e institucionales. Confirme que es un inversor profesional y que ha leído, entendido y aceptado los términos y condiciones de este sitio web.
Quantitative investing
Sharpe ratio
The Sharpe ratio describes the extent to which an investment compensates for extra risk. This ratio is also called the risk-return ratio.
The higher the ratio, the higher the risk compensation an investment offers. Investors will therefore have a preference for investments with a high Sharpe ratio or investments that raise the entire portfolio's Sharpe ratio through diversification.
The Sharpe ratio calculates the risk-bearing return above the risk-free return, generally using the yield on AAA government bonds for risk-free return.
See also
