Sharpe performance measure

Sharpe Benchmark

In financial econometrics, a model for a portfolio's performance that attempts to account for a money manager's index-like tendencies. In other words, the Sharpe benchmark attempts to statistically calculate whether a portfolio's success was due to good management or the taking of excessive risk. The model measures a company's or portfolio's performance against a series of securities indices.

Sharpe performance measure

A measure of risk-adjusted portfolio performance developed by William Sharpe. The index is calculated by dividing the risk premium return (average portfolio return less average risk-free return) divided by risk (standard deviation of portfolio returns). The Sharpe measure adjusts portfolio performance for total risk rather than market risk. Compare Treynor performance measure.
References in periodicals archive ?
If return premiums follow a multivariate normal distribution, the transformed difference for the Sharpe performance measure is:(13)
ik,Q] = Transformed Sharpe performance measure difference between portfolios i and k for overall period Q.
Multiple Regression and Simple Regression Analysis For Sharpe Performance Measure: Tests of the Relationship Between P/E Ratio and Size, and the Portfolio Performance Sharpe performance measure and average P/E, size and beta for each portfolio are measured quarterly.