Sharpe Ratio

The following post focuses on using performance data to evaluate the quality of a trader or investment manager. To be sure, qualitative assessments are also valuable but are not considered here explicitly. The Sharpe Ratio The most commonly used tool to judge traders (and hedge funds) is the Sharpe Ratio (SR), defined as…

Sometimes you want to estimate a Sharpe Ratio, but you don’t have a clean return time series i.e., the return data is available at heterogenous intervals of time. …

Portfolio optimization strategies typically involve an unintuitive procedure that combines individual assets’ expected returns, individual assets’ risks (i.e., standard deviations of expected returns), and the correlations amongst all assets to determine an optimal portfolio. The following post explores a simple heuristic that greatly simplifies the standard portfolio optimization algorithm: the…

Reward and risk are constant concerns of investors. A useful tool for analyzing return on investment versus risk is the Sharpe ratio. The name comes from Nobel laureate William F. Sharpe who developed this investment tool. The ratio shows us the excess returns in a portfolio when compared to risk-free…

Intro The Sharpe Ratio is widely used in traditional finance to measure return/risk and to compare different assets. To calculate it take the profits (or losses) from a determined period and divide it by the Standard Deviation. …

So, we are back with our finance series. In our last article, we saw what a Return is and how to calculate one. If you haven’t read that, here it is. Other than Return, another term that is very common in the field of finance is Volatility . What does…

When someone talks of financial markets what do you think of first? How to find the best investment ever? Should we ask about cryptocurrencies and DeFi protocols, would the answer be the same? Shall we try? Well, going back to DeFi services, it’s easy to find similarities within mutual funds…