CI Staff .


Discussion

Richard Oehlberg from CA posted about 1 year ago:

William F. Sharpe has posted his 1994 paper describing the Sharpe Ratio on line at http://www.stanford.edu/~wfsharpe/art/sr/sr.htm.

That paper and this article present a different formula. Specifically, the standard deviation in Sharpe's paper is for the difference between the Asset less the risk free return (Rx-Rf), and not for the asset only (Rx) as indicated above.


Wayne Thorp from IL posted about 1 year ago:

@Richard,

Thank you for pointing out the variation. Sharpe revised the ratio in 1994. We are using his original formula for this discussion. Wayne A. Thorp, CFA, editor, Computerized Investing


Daniel Pry from TX posted about 1 year ago:

Seems that the formula and calculations in this article should be fixed to reflect 1994 formula. Not really interested in the pre-1994 versions.


James Bier from NM posted about 1 year ago:

I don't think that standard deviation requires a normal distribution. All standard distributions have a standard deviation, a measure of scatter. I don't see where the Sharpe's Ratio requires it either but I don't think you should compare Sharpe Ratios from different distributions.


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