He used the usual performance measures, the Sharpe, Treynor ratios and Jensen Alpha in addition to the adjusted Sharpe Ratios
, Modigliani measure and time and selectivity ability.
We find that Sharpe ratios
of the shorter maturity portfolios are higher than those of longer maturity portfolios.
Finally, we mixed the pure equity-options momentum strategies with index-options selling strategies, achieving impressive results, with Sharpe ratios
In Tables 2, 3, and 4, the excess average returns, alphas, and Sharpe ratios
are presented, respectively, on a monthly basis for each portfolio of funds, representing their performance.
Comparison of Sharpe Ratios
, 1988-2007 Sharpe ratio
Annualized Sharpe ratio
of buy-and-hold investor 0.
Standard Deviation, Sharpe Ratios
and even R-squared are other measures which measure risk of a portfolio which can aid you in finding out how active your manager is but these are probably too detailed for our purposes here.
All survey inputs and StockTrak outcomes were summarized along with the project evaluations, portfolio returns, Sharpe ratios
, investor utility for "decision quality" measurements, and the number of trades for "information sharing effectiveness.
Farmland is a highly attractive asset class with high Sharpe ratios
but at the same time a difficult asset class for most investors to access.
Further, our findings indicate that adding gold to stock portfolios improves their Sharpe ratios
irrespective of their style (market, value, growth, small, big, momentum winners and losers) during most business economic regimes, but it reduces their Sharpe ratios
during periods of rising dollar value and recessions.
To account for risk reward, Sharpe Ratios
show that MHAR-RV portfolio is superior for target levels of 17.
Table 1: Sharpe Ratios
(%) for the period 2005-2011_ Asset Class Expected Return SD Sharpe Ratio
S&P CNX Nifty 11.
The following table shows the 1-year returns, risk (as measured by standard deviation) and Sharpe ratios
(a measure of risk-adjusted performance) for index proxies for U.