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Concept · Portfolio performance & risk decomposition

Sharpe ratio

Return per unit of volatility.

In depth

Excess return per unit of total volatility. Useful as a headline, but it rewards factor beta and residual skill equally — the decomposition is what separates the two.

Formula

Sharpe = (r_p − r_f) / σ_p

Referenced by (2)

  • Beyond Active Share

    A within-mandate manager-efficiency framework using ERM3 residual decomposition

  • Cascade Hedging and the Cost of Interpretability

    Subsector ETF value, joint optimization, and executable hedge layers across 9,074 US mutual funds

Related concepts

Portfolio variance decompositionRisk contributionPortfolio attributionActive shareTracking errorBenchmark fitDrawdown
← Benchmark fitPortfolio performance & risk decomposition · 7 / 8Drawdown →
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