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A measure that indicates the average return minus the risk-free return divided by the standard deviation of return on an investment.
‘The Sharpe ratio indicates whether a fund only achieved high returns by making desperate gambles: the higher the ratio, the better the fund's historical risk-adjusted performance.’
‘For example, the Sharpe ratio measures excess return per unit of risk, where risk is calculated as volatility, which is a traditional and popular risk measure.’
‘The relationship between risk and return is usually illustrated by the Sharpe ratio, which indicates the level of out-performance over cash per unit of risk.’
‘For all three indices and for both measures of ownership concentration, the negative relationship between governance and stock market returns was stronger when we moved from the arithmetic average of daily returns to the Sharpe ratio.’
‘Our measure of risk-adjusted returns, a variation of the Sharpe ratio, is shown for each sub-sample for different event horizons.’