from video:
Sharpe ratio is telling you the number of standard deviations the expected return is from the risk-free rate.
The greater the number of standard deviations you are from that risk free the lower the probability you will have a return as low as the RF rate.
Literal definition of what Sharpe ratio is calculating.
Had no idea till i heard this. i just knew we wanted a high sharpe ratio.
Whose video?
so youre telling me if std dev increases sharpe will fall? no way
That’s not remotely what he’s telling you.
enlighten me s2k
I have no idea why I wrote that.
Blame Mingus: one of the kittens my wife bought.
Yes, if the standard deviation of returns increases (with the mean return and the risk-free rate remaining unchanged), the Sharpe ratio decreases. What’s surprising about that?
Schweser cfa level 3 video by…crap forgot the name. great instructor.
David Hetherington?
Marc Lefevre?
Greg Filbeck?
Hetherington is a beast!!!
I’ve had the pleasure of working with David Hetherington at Stalla and at Schweser; he’s an excellent instructor.
yup - david heterington!
I think it’s more so saying by increasing risk you’re more likely to earn a return in excess of the risk-free rate.
Dispersion around the Rf is higher as you increase risk (standard deviation)