The Sharpe ratio is one way to capture this risk-versus-reward detail and give investors extra insight into their assets' performance. Some investors use an index fund as a benchmark and attempt ...

It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the ...

For example, imagine a portfolio with an annual return of 9%, a risk-free rate of 3% and a beta of 1.2. The Treynor ratio ...

Minimizes portfolio variance for given constraints. Generates efficient portfolios for specific target returns. Plots all simulated portfolios with Sharpe ratio as the color scale. Highlights the ...

Maximum Sharpe Ratio: This results in a tangency portfolio because on a graph of returns vs risk, this portfolio corresponds to the tangent of the efficient frontier that has a y-intercept equal to ...

We show that out-of-sample the maximum Sharpe-ratio of our five factors is more than twice as large as with PCA with significantly smaller pricing errors. Our factors are based on only a subset of the ...

Goldman Sachs analysts rebalanced their “high Sharpe Ratio” basket, which identifies 50 S&P 500 (SP500) stocks with the ...

The Sortino ratio focuses on downside volatility, while the Sharpe ratio considers both upside and downside volatility in its calculation. Funds with higher Sortino ratios over longer periods tend ...