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 ?
PERF = Sharpe performance measure (i.e., reward-to-variability ratio), which is calculated as a) the difference between the daily post-recommendation return on the stock and the daily risk-free rate over the three-month period from 12/15/94 through 3/15/95 divided by b) the standard deviation of the return series.
The dividend yield for the average firm is 2.46%; the average market-value-to-book-value ratio is 2.60; the average forecasted growth rate is 13.24%; and the average industry-adjusted PE ratio is -2.84.(14) Over the ex-post analysis period from December 15, 1994 to March 15, 1995, the Sharpe performance measure has a mean level of 4.25.
Buy recommendations have a higher Sharpe performance measure (PERF).
where S[H.sub.ik,Q] = Transformed Sharpe performance measure difference between portfolios i and k for overall period Q.
First, the Sharpe performance measure was regressed on the lagged value of P/E ratio and market value, separately.
where [SH.sub.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.