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Re: Sharpe ratio
[Re: kujo]
#471341
02/28/18 14:17
02/28/18 14:17
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Joined: Jul 2000
Posts: 27,986 Frankfurt
jcl
Chief Engineer
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Chief Engineer
Joined: Jul 2000
Posts: 27,986
Frankfurt
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Re: Sharpe ratio
[Re: jcl]
#471357
02/28/18 21:07
02/28/18 21:07
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Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
OP
Member
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OP
Member
Joined: Dec 2017
Posts: 129
Halifax, NS
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Well, I know what is Sharpe ratio... That's why your result looks strange for me. The very idea of measuring Sharpe of a saving account is strange for me. And I asked how did you come up with 1.5. Could you explain your formula and what values did you used to get 1.5?
Last edited by kujo; 02/28/18 21:18.
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Re: Sharpe ratio
[Re: jcl]
#471407
03/02/18 20:55
03/02/18 20:55
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Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
OP
Member
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OP
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Joined: Dec 2017
Posts: 129
Halifax, NS
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Thank you! The only thing I don't understand is how you come up with this: Sharpe ratio of 1.5 would be equivalent to a savings account with 50% risk-free interest.
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Re: Sharpe ratio
[Re: Spirit]
#471442
03/04/18 14:48
03/04/18 14:48
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Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
OP
Member
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OP
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Joined: Dec 2017
Posts: 129
Halifax, NS
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When you have Sharpe ratio 1, its comparable to 0% riskfree return, and Sharpe ratio 2 is 100% riskfree return I'd appreciate if you could share the link to the information (except the manual) in support of this statement. I never seen this kind of comparison in any kind of Sharpe related papers (including paper's by William Sharpe). So, some kind of explanation and proof would be great! Thank you!
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