The Sharpe Ratio is equal to compound annual rate of return minus rate of return on a risk-free investment divided by the annualized monthly standard deviation.
Formula: (Compound Annual ROR - risk free ROR (calculated from T-bills)) / Annualized Std. Dev. of Mo. ROR or Annualized Std. Dev. of Quarterly ROR
- Annualized Standard Deviation Monthly Quarterly Return definition
- Market Timing definition
- Barclay CTA Index definition
- Emerging Markets definition
- Hurdle Rate definition