The Spaulding Group
Call Now: 732-873-5700
Menu
  • GIPS
    • What Our Clients Say
    • GIPS 101
    • What is GIPS Verification?
    • GIPS Support/Pre-Verification
    • GIPS Verification Services
    • Non-GIPS Verification
    • GIPS For Asset Owners
    • Can OCIOs Be GIPS Compliant
  • Services
    • Consulting
      • Technology Consulting
      • Operations Review
    • Training
      • Fundamentals of Investment Performance Measurement
      • Performance Measurement Attribution
      • GIPS Workshop
      • In-House/Custom Training
      • Portfolio Risk Class
      • Performance Measurement for the Non-Performance Professional
      • PERFORMANCE MEASUREMENT FOR ASSET OWNERS AND CONSULTANTS
    • Software Certification
    • Vendor Support
      • Marketing Support
      • System Consulting
    • Publishing
    • Research
  • Products
    • The Journal
      • Media Kit
      • Article Submissions
      • Past Articles of The Journal of Performance Measurement
      • Dietz Award Winners
  • Conferences and Forums
    • Conferences
      • Virtual PMAR Web-Conference
      • PMAR North America
      • PMAR Europe
      • PMAR West
      • Performance Jeopardy Champions
      • Web Conferences
    • Performance Measurement Forum
    • Asset Owner Roundtable
  • Investment Performance Guy Blog
    • CIPM Tips & Tricks
    • Resource Center
  • About Us
    • TSG In The News
    • The Company
    • Awards and Recognition
    • Our Story
    • Careers
  • Contact
  • GIPS
    • What Our Clients Say
    • GIPS 101
    • What is GIPS Verification?
    • GIPS Support/Pre-Verification
    • GIPS Verification Services
    • Non-GIPS Verification
    • GIPS For Asset Owners
    • Can OCIOs Be GIPS Compliant
  • Services
    • Consulting
      • Technology Consulting
      • Operations Review
    • Training
      • Fundamentals of Investment Performance Measurement
      • Performance Measurement Attribution
      • GIPS Workshop
      • In-House/Custom Training
      • Portfolio Risk Class
      • Performance Measurement for the Non-Performance Professional
      • PERFORMANCE MEASUREMENT FOR ASSET OWNERS AND CONSULTANTS
    • Software Certification
    • Vendor Support
      • Marketing Support
      • System Consulting
    • Publishing
    • Research
  • Products
    • The Journal
      • Media Kit
      • Article Submissions
      • Past Articles of The Journal of Performance Measurement
      • Dietz Award Winners
  • Conferences and Forums
    • Conferences
      • Virtual PMAR Web-Conference
      • PMAR North America
      • PMAR Europe
      • PMAR West
      • Performance Jeopardy Champions
      • Web Conferences
    • Performance Measurement Forum
    • Asset Owner Roundtable
  • Investment Performance Guy Blog
    • CIPM Tips & Tricks
    • Resource Center
  • About Us
    • TSG In The News
    • The Company
    • Awards and Recognition
    • Our Story
    • Careers
  • Contact
Search the site...
Home» Product » Another Interpretation of Negative Sharpe Ratio

Another Interpretation of Negative Sharpe Ratio

Posted by admin - May 17, 2014 -
0

$25.00

In negative return periods, the Sharpe ratio becomes negative. If we adopt the idea that a larger Sharpe ratio means better performance, as when the ratio is positive, then the conventional wisdom that smaller risk is better if the returns are the same seems to be contradicted. In this short paper, I used the concept of an ex-ante capital market line and show that the conventional wisdom is not appropriate for negative return periods, and we can use the Sharpe ratio as an indicator of performance evaluation, irrespective of its sign.

Author: Yoshiaki Akeda

SKU: Spring20037-3-2 Category: Articles Tags: article, Negative Sharpe Ratio
  • Description

Description

In negative return periods, the Sharpe ratio becomes negative. If we adopt the idea that a larger Sharpe ratio means better performance, as when the ratio is positive, then the conventional wisdom that smaller risk is better if the returns are the same seems to be contradicted. In this short paper, I used the concept of an ex-ante capital market line and show that the conventional wisdom is not appropriate for negative return periods, and we can use the Sharpe ratio as an indicator of performance evaluation, irrespective of its sign.

Another Interpretation of Negative Sharpe Ratio

Related products

  • erformance measurement big

    A Case for Fixed Income Holdings-Based Attribution: Techniques for Achieving Cleaner Results

    $25.00
    Add to cart
  • Performance Measurement

    A Consistent Linking Concept for Fast Calculations of the Rate of Return and Research of Investment

    $25.00
    Add to cart
  • Performance Measurement

    A Geometric Methodology for Performance Attribution

    $25.00
    Add to cart
  • A Conceptual Framework for the Development and Verification of Attribution Models

    $25.00
    Add to cart

Leave a Reply Cancel reply

Your email address will not be published. Required fields are marked *

This site uses Akismet to reduce spam. Learn how your comment data is processed.

Privacy Policy   Terms and Conditions
Copyright 2018-2019. The Spaulding Group.
  • Terms of Use
  • Privacy Policy
  • About Us
  • Contact Us
CFA Institute does not endorse, promote or warrant the accuracy or quality of The Spaulding Group, Inc. GIPS® is a registered trademark owned by CFA Institute.
 
This site uses functional cookies and external scripts to improve your experience. If you continue to browse the site, it indicates you accept our use of cookies.Accept Privacy Policy
Privacy Policy
Necessary
Always Enabled