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Excess return per unit of deviation in return.

8
votes
Darren, you could have asked me directly in that related question but here goes :-) The measure you are looking for is called "Sortino Ratio", here a quick wiki and a rather excellent (as its concise …
answered Aug 22 '12 by Matt
2
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If you really think about the actual meaning of Sharpe ratios then you should come to the right conclusion yourself: It is a measure of excess risk-adjusted return (whether realized or unrealized) …
answered Jan 17 '13 by Matt
3
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Of course you get through diversification effects different return variation and thus Sharpe ratios depending on whether you calculate the standard deviation on an individual asset or a portfolio stan …
answered Nov 22 '12 by Matt
4
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I would not put too much weight on any relationship between Sharpe ratio and Kelly criterion. The two are simply not logically related other than they both share common inputs. Kelly relates to sizin …
answered Feb 3 '13 by Matt
3
votes
I can only repeat myself because your mentioned previously asked question is essentially identical: => I would say do not include non-trading days, do not include days with zero position, do not incl …
answered Apr 10 '13 by Matt
3
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I think you need to exactly define which ratio you are talking about. For example the ex-post Sharpe ratio's components are all well known. You have your realized returns, risk free returns (or whatev …
answered Feb 14 '13 by Matt
11
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Here are couple references. Especially the first link to Andy Lo's paper contains a list of Sharpe ratios of popular mutual and hedge funds: The Statistics of Sharpe Ratios Dow Jones Credit Suisse H …
answered Aug 1 '12 by Matt