Sharp Ratio 편집하기

'''Sharpe Ratio''' is a financial metric used to measure the risk-adjusted return of an investment. It helps investors understand how much excess return they are earning for the additional risk taken compared to a risk-free asset.
==Definition==
The Sharpe Ratio is calculated as:
*Sharpe Ratio = (R_p - R_f) / σ_p
where:
*'''R_p''' – Return of the portfolio.
*'''R_f''' – Risk-free rate (e.g., U.S. Treasury rate).
*'''σ_p''' – Standard deviation of the portfolio's return (risk).
==Interpretation==
*'''Sharpe Ratio greater than 1''' – Indicates a good risk-adjusted return.
*'''Sharpe Ratio between 0 and 1''' – Suggests that returns may not be significantly better than the risk-free rate.
*'''Negative Sharpe Ratio''' – The investment underperforms compared to the risk-free rate.
==Example Calculation==
Suppose:
*Portfolio return (R_p) = 12%
*Risk-free rate (R_f) = 3%
*Portfolio standard deviation (σ_p) = 10%
The Sharpe Ratio is:
*(12% - 3%) / 10% = 0.9
==Advantages==
*'''Compares different investments''' – Helps assess performance across assets.
*'''Considers risk''' – Accounts for volatility, unlike raw returns.
*'''Widely used''' – Standard benchmark in portfolio management.
==Limitations==
*'''Assumes normal distribution''' – May not be accurate for highly skewed assets.
*'''Sensitive to inputs''' – Different risk-free rates or time periods can affect results.
*'''Does not capture downside risk separately''' – Unlike the Sortino Ratio.
==Applications==
*Portfolio optimization in asset management.
*Comparing mutual funds, hedge funds, and ETFs.
*Evaluating risk-adjusted returns in quantitative finance.
==Variations==
*'''Sortino Ratio''' – Focuses only on downside risk.
*'''Treynor Ratio''' – Uses beta instead of standard deviation.
==See Also==
*[[Risk-Adjusted Return]]
*[[Sortino Ratio]]
*[[Treynor Ratio]]
*[[Volatility (Finance)]]
*[[Modern Portfolio Theory]]
*[[Efficient Frontier]]
[[Category:Finance]]