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Quantitative Finance · Glossário

O que é Sharpe ratio?

Definition 11.10 Quantitative Methods · Capítulo 11 — Estimation

The Sharpe ratio of a strategy is its expected excess return per unit of standard deviation, SR=μ/σ\mathrm{SR} = \mu/\sigma, per period; annualised by periods a year\sqrt{\text{periods a year}} when returns are independent across periods. Its estimate is SR^=xˉ/s\widehat{\mathrm{SR}} = \bar x/s.

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