hedgefunds
The Sharpe Ratio
Filed in archive Investing by Alex Akesson on July 30, 2008
My colleague at HedgeCo, Aaron Wormus, does a really good job here at what probably is the most complete (and simplest) description of the Sharpe ratio."Explaining the Sharpe Ratio (again)"

SharpeRatio.jpg
He states, "One of the issues that we have with statistics is that regardless of how close we stick to any given standard we find someone who interprets something differently and gets different results. Often others "tweak" the algorithm simply out of a misunderstanding of the algorithm, other times as we will discuss later, choosing an alternate calculation intentionally creates better results."

The Sharpe ratio is one of the simplest ratios, it is also one of the ratios which is most often miscalculated. The blog then goes on to describe the correct way to calculate the ratio as well as a couple of the most common errors made when performing this calculation.


Permalink: The Sharpe Ratio
Tags: hedge+funds  hedge  fund  2007  ratio  hedge+fund  sharpe+ratio 
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