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Home» Variability

Standard deviation: a measure of variability, too!

Posted by David Spaulding - July 19, 2018 - GIPS, Global Investment Performance Standards, Investment Performance Guy, Standard Deviation, Variability

One thing that is often overlooked is that William F. Sharpe, PhD, in his paper that introduced the now eponymously named “Sharpe ratio,” referred to his measure as “reward to variability.” He contrasted this with Jack Treynor’s earlier published method, which he labeled “reward to volatility.” The only difference between the measures was what they chose […]

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