We're pleased to announce an update is coming to the community boards.
Sunday, September 25th: We are migrating the boards to a new platform. The site is currently in read-only mode and we will bring it back online as soon as the migration is complete.
This board has been migrated to our new platform! Click below to continue the discussion on the new site.
I'm not sure what Sharpe ratio signifies, but it seems to be some kind of risk-adjusted return. I don't see why the "excess return" should be divided by the standard dev--would the results be different if it divided by, SD squared?Anyway, it's interesting that the short-term seems to show that there is little "risk". Most of the data is from a period where there was not much short-term volatility, so that skews the results. I wonder if they did a similar study on the last 5 years, what would the curve look like.I'm not surprised to see the graph take that sharp upturn near the end - longer holding periods tend to mitigate final-value risk.However, my usual complaint applies: this assumes one has a lump sum and buys the portfolio all at once, then holds until the end. Some investors are going to be buying continually during the period, perhaps increasing their purchases as time goes by.So, sharpe ratio is a good measure of risk for some investors, but not others.
Best Of |
Favorites & Replies |
Start a New Board |
My Fool |