Article citationsMore>>
Goetzmann, W., Ingersoll, J., Spiegel, M., & Welch, I. (2002). Sharpening Sharpe Ratios. National Bureau of Economic Research [Preprint]. National Bureau of Economic Research.
https://doi.org/10.3386/w9116
has been cited by the following article:
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TITLE:
Reinterpreting the Sharpe Ratio as a Measure of Investment Return from Alpha
AUTHORS:
Michele Anelli
KEYWORDS:
Sharpe Ratio, Alpha Return
JOURNAL NAME:
Modern Economy,
Vol.14 No.2,
February
6,
2023
ABSTRACT: This paper examines the fundamental building blocks
of the Sharpe ratio to debate over the economic interpretation of this
well-known tool used to measure the risk-adjusted performance of various
financial portfolios and funds. It focuses on the risk-adjusted expected return
of an investment versus a benchmark portfolio (or index) return. By leveraging
on a set of statements and assumptions, I isolate the information content of
the ratio as expression of the investment return from alpha. I finally derive
that, under the efficient market hypothesis (EMH) or perfectly
diversified portfolios, the Sharpe ratio is zero.