[ Amazzon @ 20.03.2009. 16:27 ] @
Da li neko moze detaljno da mi razjasni ekonomske termine Sharpe Ratio i Standard Deviation?? Koliko sam upoznat sa znacenjem SR-a, znam samo da je to neka visina rizika povracaja na investiciju, e sad treba sve ovo detaljnije prevesti...
[ Samir_ @ 20.03.2009. 21:48 ] @
a brate imas na:

http://en.wikipedia.org/wiki/Sharpe_ratio

http://en.wikipedia.org/wiki/Standard_deviation
[ Amazzon @ 23.03.2009. 15:08 ] @
Procitao sam sve to, ali i dalje mi treba neko sve to detaljnije objasniti i razjasniti...U svakom slucaju hvala za linkove....
[ zorans @ 11.10.2009. 03:36 ] @
http://www.stanford.edu/~wfsharpe/art/sr/sr.htm

Sharpe
Sharpe Ratio divides annualized return by annualized standard deviation of
returns, using monthly data points. Excludes the risk-free-rate in the numerator.

Ann. Sharpe
This version of the Sharpe Ratio divides annual return by standard deviation of annual returns,
using actual annual calendar data points (The Sharpe Ratio is the classic measure of return
versus. risk. Divides excess return by standard deviation to determine reward per unit of risk. The
higher the Sharpe ratio, the better the risk-adjusted performance.)

Modified Sharpe Ratio
The Sharpe Ratio is the classic measure of return vs. risk. Developed by Nobel Laureate and
(now) Stanford professor William F. Sharpe, it divides excess return by standard deviation to
determine reward per unit of risk. (The higher the Sharpe ratio, the better the risk-adjusted
performance.) This modified version divides annualized return by annualized standard deviation of
returns, using monthly data points. Exclusion of the risk-free-rate in the numerator makes this
measure less sensitive to changes in leverage:
Modified Sharpe Ratio = Annualized Return / Annualized Std Dev
Annualized Return = 12* Average Monthly Return
Annualized Std Dev = Square Root (12) * Std Dev Monthly Returns

Standard Deviation

The overall variability of investment returns is best described by Standard Deviation. It is typically
calculated based on monthly, or annual percentage changes (rather than dollar fluctuations of the
equity curve series itself).
Standard Deviation measures both upside and downside volatility, and is literally the square root of
variance, which describes the dispersion of data points around an average. Standard deviation is
the denominator of the Sharpe Ratio, a classic measure of risk vs. reward.
Standard Deviation is an easy concept to convey without resorting to mathematical formulae, and
the following example demonstrates why averages with large standard deviations can be
misleading, and why two investments with similar returns can have dramatically different risk
characteristics:
The U.S. Virgin Islands have an average annual temperature of approximately 80ºF. This
is paradise, and it is habitable year-round.
Let's compare this with an actual location in Southern California, not too far inland from the
Pacific Ocean. It has a year-round average temperature of 76ºF, which is a little cooler
than paradise. So far, so good.
Research shows that the average daily high throughout the year is 90ºF, and the average
daily low is 62ºF. Still habitable, but it's beginning to sound a little hot. Maybe not, though;
the Virgin Islands has an average daily high/low of 86º / 74ºF
Our pleasant California locale also has very mild winters. More research, though, shows
that while the average daily low for the summer is 77°F, the average daily summer high
is...105°F. So it's apparent that, even thought its average annual temperature is slightly
lower than the Virgin Islands, the range, or variance of its temperature is significantly
higher, and may even be cause for alarm, where habitability is concerned.
Further digging turns up the fact that 1996 was the hottest summer on record: There were
40 days over 120°F, and 103 days over 110°F. The summer of 1974 was no more
hospitable, setting a record of 134 consecutive days with a maximum temperature of over
100°F. In 1913, the temperature reached 129°F or above, five days in a row (a world
record at the time), and the hottest temperature ever recorded was 134°F on July 10 of
that same year.
Our pleasant-sounding climate, with a year-round average temperature lower than the
Virgin Islands, now sounds more like an inferno. And it is: It's Furnace Creek in Death
Valley, CA, the hottest, driest place in North America.
So the vast difference in habitability between these two locales-which share similar
year-round average temperatures-lies solely in the standard deviation of their respective
temperatures.
There is no doubt that, by treating upside and downside volatility the same, Standard Deviation
does a very good job of describing the overall variability of investment returns. However, there is a
school of thought which maintains that Standard Deviation is an inappropriate risk measure under
certain circumstances because it unfairly penalizes the high upside volatility often experienced by
trend-following Commodity Trading Advisors.
Trend-following CTAs typically employ rigid stop-loss strategies that produce a return profile
characterized by a small number of well-contained losses, and an even smaller number of large
winning trades. So the argument that standard deviation unfairly penalizes their risk-adjusted
returns may well have merit.
In response, some risk-adjusted metrics-such as the Sortino Ratio-look only at downside Standard
Deviation (also called semi-deviation). While similar to the Sharpe Ratio in general form, the
denominator of the Sortino Ratio calculates the standard deviation of the negative data points only,
against the mean of the population (of all data points).