- 1 What is alpha beta Sharpe ratio?
- 2 How are mutual fund risks measured?
- 3 What is a good Sharpe ratio?
- 4 What is a good alpha ratio?
- 5 What is a good Sharpe ratio for a mutual fund?
- 6 What is a good Sortino ratio for a mutual fund?
- 7 What does a Sharpe ratio of 0.5 mean?
- 8 What is Warren Buffett Sharpe ratio?
What is alpha beta Sharpe ratio?
Alpha and beta are two of the key measurements used to evaluate the performance of a stock, a fund, or an investment portfolio. Alpha and beta are standard calculations that are used to evaluate an investment portfolio’s returns, along with standard deviation, R-squared, and the Sharpe ratio.
How are mutual fund risks measured?
We will also explain how you can use these measures in selecting Mutual Funds.
- Beta. Beta is a commonly used risk measure and calculates the relative volatility of a stock or Mutual Fund’s returns as against its benchmark.
- Standard Deviation.
- Sharpe Ratio.
- Sortino Ratio.
What is a good Sharpe ratio?
So what is considered a good Sharpe ratio that indicates a high degree of expected return for a relatively low amount of risk? Usually, any Sharpe ratio greater than 1.0 is considered acceptable to good by investors. A ratio higher than 2.0 is rated as very good. A ratio of 3.0 or higher is considered excellent.
What is a good alpha ratio?
A positive alpha of 1 means the fund has outperformed its benchmark index by 1%. Correspondingly, a similar negative alpha would indicate an underperformance of 1%. For investors, the more positive an alpha is, the better it is. (To learn more, see “Adding Alpha Without Adding Risk.”)
What is a good Sharpe ratio for a mutual fund?
Usually, any Sharpe ratio greater than 1.0 is considered acceptable to good by investors. A ratio higher than 2.0 is rated as very good. A ratio of 3.0 or higher is considered excellent. A ratio under 1.0 is considered sub-optimal.
What is a good Sortino ratio for a mutual fund?
Most of the asset classes give Sortino ratios of between 0.2 to 0.3 over the long-run. A higher Sortino ratio in mutual funds is considered to be better. So from the given result, the Sortino ratio indicates that it is generating more return per unit of the given risk and has a greater chance of avoiding large losses.
What does a Sharpe ratio of 0.5 mean?
As a rule of thumb, a Sharpe ratio above 0.5 is market-beating performance if achieved over the long run. A ratio of 1 is superb and difficult to achieve over long periods of time. A ratio of 0.2-0.3 is in line with the broader market. A negative Sharpe ratio, as aforementioned, is difficult to evaluate.
What is Warren Buffett Sharpe ratio?
Buffett produced a Sharpe ratio of 0.76, almost double that of the overall market. The authors identify several underlying features of his portfolio: All investments are in high-quality stocks that are stable, profitable, and growing, with high payout ratios and low price-to-book ratios.