Sharpe Ratio
A measure of risk-adjusted return, calculated as (Strategy Return − Risk-Free Rate) / Standard Deviation of Returns. A Sharpe ratio above 1.0 is considered good, above 2.0 is very good, and above 3.0 is excellent. It quantifies how much excess return you receive per unit of risk.
Definition
A measure of risk-adjusted return, calculated as (Strategy Return − Risk-Free Rate) / Standard Deviation of Returns. A Sharpe ratio above 1.0 is considered good, above 2.0 is very good, and above 3.0 is excellent. It quantifies how much excess return you receive per unit of risk.
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