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1、TheSharpeRatioWilliamF.SharpeStanfordUniversityReprintedfromTheJournalofPortfolioManagement,Fall1994 ThiscopyrightedmaterialhasbeenreprintedwithpermissionfromTheJournalofPortfolioManagement.Copyright©InstitutionalInvestor,Inc.,488MadisonAvenue,NewYork,N.Y.10022,aCapitalCities/ABC
2、,Inc.Company.Phone(212)224-3599. .Over25yearsago,inSharpe[1966],Iintroducedameasurefortheperformanceofmutualfundsandproposedthetermreward-to-variabilityratiotodescribeit(themeasureisalsodescribedinSharpe[1975]).Whilethemeasurehasgainedconsiderablepopularity,thenamehasnot.Otheraut
3、horshavetermedtheoriginalversiontheSharpeIndex(Radcliff[1990,p.286]andHaugen[1993,p.315]),theSharpeMeasure(Bodie,KaneandMarcus[1993,p.804],EltonandGruber[1991,p.652],andReilly[1989,p.803]),ortheSharpeRatio(Morningstar[1993,p.24]).Generalizedversionshavealsoappearedundervariousnam
4、es(see.forexample,BARRA[1992,p.21]andCapaul,RowleyandSharpe[1993,p.33]).Bowingtoincreasinglycommonusage,thisarticlereferstoboththeoriginalmeasureandmoregeneralizedversionsastheSharpeRatio.MygoalhereistogowellbeyondthediscussionoftheoriginalmeasureinSharpe[1966]andSharpe[1975],pro
5、vidingmoregeneralityandcoveringabroaderrangeofapplications.THERATIOMostperformancemeasuresarecomputedusinghistoricdatabutjustifiedonthebasisofpredictedrelationships.Practicalimplementationsuseexpostresultswhiletheoreticaldiscussionsfocusonexantevalues.Implicitlyorexplicitly,itisa
6、ssumedthathistoricresultshaveatleastsomepredictiveability.Forsomeapplications,itsufficesforfuturevaluesofameasuretoberelatedmonotonicallytopastvalues--thatis,iffundXhadahigherhistoricmeasurethanfundY,itisassumedthatitwillhaveahigherfuturemeasure.Forotherapplicationstherelationshi
7、pmustbeproportional--thatis,itisassumedthatthefuturemeasurewillequalsomeconstant(typicallylessthan1.0)timesthehistoricmeasure.Toavoidambiguity,wedefineherebothexanteandexpostversionsoftheSharpeRatio,beginningwiththeformer.Withtheexceptionofthissection,however,wefocusontheuseofthe
8、ratioformakingdecisions,andhenceareconce
