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Sharpe Ratio

Written by superadmin | Feb 2, 2012 12:00:00 AM

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