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The Sharpe Ratio
Abstract
. Over 25 years ago, in Sharpe [1966], I introduced a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ). While the measure has gained considerable popularity, the name has not. Other authors have termed the original version the Sharpe Index (Radcliff [1990, p. 286] and Haugen [1993, p. 315]), the Sharpe Measure (Bodie, Kane and Marcus [1993, p. 804], Elton and Gruber [1991, p. 652], and Reilly [1989, p.803]), or the Sharpe Ratio (Morningstar [1993, p. 24]). Generalized versions have also appeared under various names (see. for example, BARRA [1992, p. 21] and Capaul, Rowley and Sharpe [1993, p. 33]).
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Citations
Cited by
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Stutzer, M. (2000) · Financial Analysts Journal · doi:10.2469/faj.v56.n3.2360 · Cited by 169
Metadata
- Authors
- Sharpe, W. F.
- Venue
- The Journal of Portfolio Management
- Publisher
- With Intelligence LLC
- Published
- 1994-10-31
- Volume
- 21
- Issue
- 1
- Pages
- 49-58
- ISSN
- 0095-4918 (ISSN-L)
- 2168-8656
- OpenAlex
- W2153580489
- Cited by
- 2,534
- References
- 0
- FWCI
- 13.80
- Type
- journal article
- Language
- en
- Open access
- closed
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