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Investment Principles.pdf
drive.google.com
The risk-free rate is simply the return of Treasury bills. A higher Sharpe ratio is better, and a good rule of thumb is that risky asset classes have Sharpe ratios that cluster around the 0.20 to 0.30 range.
Meb Faber • Global Asset Allocation: A Survey of the World’s Top Asset Allocation Strategies
The Sharpe ratio is a measure of risk adjusted returns, and is calculated as: (returns – risk free rate)/volatility.
Meb Faber • Global Asset Allocation: A Survey of the World’s Top Asset Allocation Strategies
A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing (Tenth Edition)
amazon.com
A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing (Twelfth Edition)
amazon.com
The Sharpe ratio is actually a special case of the information ratio, suitable when we have a dollar-neutral strategy, so that the benchmark to use is always the risk-free rate. In practice, most traders use the Sharpe ratio even when they are trading a directional (long or short only) strategy, simply because it facilitates comparison across diffe
... See moreErnest P. Chan • Quantitative Trading
Interest Rate Analysis
blakelaw.dev