Sharpe Ratio

Sharpe Ratio is a measure of risk-adjusted return.
It is desirable to have a high Sharpe Ratio, as this indicates more return for a
given amount of risk. Sharpe Ratios can be calculated for any investment,
symbol, asset type, investment goal, sector, investment type, currency, or
sub-portfolio.

#### Calculation Details:

When calculating the Sharpe Ratio all the monthly
Time-Weighted Returns (TWR) over
the specified comparison period are
calculated. For example, if the comparison period is 5 years, there are 60
monthly returns calculated. The Sharpe Ratio is calculated using the
formula:

where *r* represents
the monthly returns, and *
f* represents a monthly
risk-free return. When calculating returns your current
interpolation range preferences are used.
If sufficient pricing data is not available the Sharpe Ratio of investments will not be reported.

#### Advanced:

Fund Manager can output the data points used in this calculation to a log
file. By default the logging feature is turned off. To turn it on,
create a new registry string value at:

HKEY_CURRENT_USER\Software\Beiley Software\Fund Manager\CurrentVersion\techanal

named "benchmarklog" and set it to a value of "1".
When calculating the Sharpe Ratio for an investment the log file is named "sharpe_log.txt".
When calculating the Sharpe Ratio for a sub-portfolio the log file is named "sharpe_port_log.txt".
Each of these logs will be located in your user's AppData\Roaming\Fund
Manager folder (usually a hidden folder). These log files are deleted upon exiting Fund Manager.

### See Also

Benchmark Dialog

Custom Report

Alpha

Beta

Correlation

R-Squared

Standard Deviation of Returns

Time-Weighted Return