Sharpe Ratio
A quantitative financial performance metric introduced by Nobel laureate William Sharpe. It is calculated by dividing a strategy's excess return by the standard deviation of returns, measuring the excess return obtained per unit of risk.
Core Facts
Timeline (last 90 days)
EvolveTrade outperforms fixed-strategy LLM baselines on both Sharpe ratio and cumulative return in most evaluated settings.
The Sharpe ratio was proposed by Nobel Economics Prize laureate William Sharpe and is calculated as the strategy's excess return divided by the standard deviation of returns.
The Sharpe Ratio measures the excess return obtained per unit of risk borne by a strategy, and is the most widely used risk-adjusted return metric in the industry.
Evaluating backtested returns requires attention to risk-adjusted metrics such as the Sharpe ratio and maximum drawdown; a strategy with 30% annualized returns but a 60% maximum drawdown is inferior to one with 15% annualized returns but only a 10% drawdown.
The Sharpe ratio assumes that returns follow a normal distribution, whereas financial returns generally exhibit leptokurtosis and fat tails, and it ignores risk information such as maximum drawdown, skewness, and kurtosis.
The Sharpe ratio is excess return divided by the standard deviation of returns, measuring the reward obtained per unit of risk taken; a value above 1 is generally considered good performance, while above 2 is considered excellent.
All Facts (7)
The Sharpe ratio is excess return divided by the standard deviation of returns, measuring the reward obtained per unit of risk taken; a value above 1 is generally considered good performance, while above 2 is considered excellent.
65%Unverified夏普比率（Sharpe Ratio）由诺贝尔经济学奖得主威廉·夏普提出
95%UnverifiedEvolveTrade outperforms fixed-strategy LLM baselines on both Sharpe ratio and cumulative return in most evaluated settings.
50%UnverifiedThe Sharpe ratio was proposed by Nobel Economics Prize laureate William Sharpe and is calculated as the strategy's excess return divided by the standard deviation of returns.
50%UnverifiedThe Sharpe Ratio measures the excess return obtained per unit of risk borne by a strategy, and is the most widely used risk-adjusted return metric in the industry.
50%UnverifiedEvaluating backtested returns requires attention to risk-adjusted metrics such as the Sharpe ratio and maximum drawdown; a strategy with 30% annualized returns but a 60% maximum drawdown is inferior to one with 15% annualized returns but only a 10% drawdown.
50%UnverifiedThe Sharpe ratio assumes that returns follow a normal distribution, whereas financial returns generally exhibit leptokurtosis and fat tails, and it ignores risk information such as maximum drawdown, skewness, and kurtosis.
50%