The Sharpe Ratio of a manager series is the quotient of the annualized excess return of the manager over the cash equivalent and the annualized standard deviation of the manager return.
Sharpe Ratio = (AnnRtn(r1, ..., rn) - AnnRtn(c1, ..., cn)) / AnnStdDev(r1, ..., rn)
where:
r1, ..., rn = manager return series
c1, ..., cn = cash equivalent return series
The Sharpe Ratio is a risk-adjusted measure of return which uses standard deviation to represent risk.
Related Statistics:
Annualized Return
Annualized Standard Deviation
