送亮線：risk和reward是孿生兄弟，一定要balance好，並不一定一直追求reward，reward高就是成功.

來源: 於 2025-05-31 04:46:39 [博客] [舊帖] [給我悄悄話] 本文已被閱讀：次

Risk adjusted reward 好才是真成功.

In finance, the Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) measures the performance of an investment such as a security or portfolio compared to a risk-free asset, after adjusting for its risk.
 

 

Since its revision by the original author, William Sharpe, in 1994,[2] the ex-ante Sharpe ratio is defined as:

{\displaystyle S_{a}={\frac {E[R_{a}-R_{b}]}{\sigma _{a}}}={\frac {E[R_{a}-R_{b}]}{\sqrt {\mathrm {var} [R_{a}-R_{b}]}}},}

where {\displaystyle R_{a}} is the asset return, {\displaystyle R_{b}} is the risk-free return (such as a U.S. Treasury security). {\displaystyle E[R_{a}-R_{b}]} is the expected value of the excess of the asset return over the benchmark return, and {\displaystyle {\sigma _{a}}}is the standard deviation of the asset excess return. The t-statistic will equal the Sharpe Ratio times the square root of T (the number of returns used for the calculation).

The ex-post Sharpe ratio uses the same equation as the one above but with realized returns of the asset and benchmark rather than expected returns; see the second example below.

The information ratio is a generalization of the Sharpe ratio that uses as benchmark some other, typically risky index rather than using risk-free returns.