Sharpe ratio
measures the average excess return corresponding to the fluctuation of excess return per unit.
symbols, variables and units
R_p, R_f: same-period rate of return; S: dimensionless.
applicable conditions and boundaries
volatility is non-zero; annualization requires assumptions and tail risk cannot be measured independently.
formula source code
The following is a copyable LaTeX expression.
S=\frac{\mathbb E[R_p-R_f]}{\sigma(R_p-R_f)}Reference and Extended Learning
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Sharpe ratioPerformance