Sharpe Ratio Study 5
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Sharpe Ratio Study.
Assumptions: Each fund starts with beginning balance of $1000.
Benchmark fund has 1% return per period.
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BenchmarkFund AFund BFund C
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Benchmark FundFund AFund BFund C
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Rate of return
(per period)
BalanceRate of return
(per period)
Balancedifference in return
from benchmark
Rate of return
(per period)
Balancedifference in return
from benchmark
Rate of return
(per period)
Balancedifference in return
from benchmark
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$1,000.00$1,000.00$1,000.00$1,000.00
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1.00%$1,010.001.00%$1,010.000%1.05%$1,010.500.05%1.05%$1,010.500.05%
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1.00%$1,020.101.40%$1,024.140.4%1.05%$1,021.110.05%1.05%$1,021.110.05%
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1.00%$1,030.30-0.10%$1,023.12-1.1%1.05%$1,031.830.05%1.05%$1,031.830.05%
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1.00%$1,040.602.30%$1,046.651.3%10.00%$1,135.029%1.05%$1,042.670.05%
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1.00%$1,051.010.50%$1,051.88-0.5%1.05%$1,146.930.05%1.05%$1,053.610.05%
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1.00%$1,061.521.75%$1,070.290.75%1.05%$1,158.980.05%1.05%$1,064.680.05%
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1.00%$1,072.141.60%$1,087.410.6%1.05%$1,171.140.05%1.05%$1,075.860.05%
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1.00%$1,082.860.20%$1,089.59-0.8%1.05%$1,183.440.05%1.05%$1,087.150.05%
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1.00%$1,093.69-0.50%$1,084.14-1.5%1.05%$1,195.870.05%1.05%$1,098.570.05%
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1.00%$1,104.622.00%$1,105.821%1.05%$1,208.420.05%1.05%$1,110.100.05%
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1.00%$1,115.671.30%$1,120.200.3%1.05%$1,221.110.05%1.05%$1,121.760.05%
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1.00%$1,126.831.40%$1,135.880.4%10.00%$1,343.229%1.05%$1,133.540.05%
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1.00%$1,138.091.50%$1,152.920.5%1.05%$1,357.330.05%1.05%$1,145.440.05%
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1.00%$1,149.471.60%$1,171.370.6%1.05%$1,371.580.05%1.05%$1,157.470.05%
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1.00%$1,160.970.90%$1,181.91-0.1%1.05%$1,385.980.05%1.05%$1,169.620.05%
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1.00%$1,172.582.00%$1,205.551%1.05%$1,400.530.05%1.05%$1,181.900.05%
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1.00%$1,184.303.00%$1,241.712%1.05%$1,415.240.05%1.05%$1,194.310.05%
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1.00%$1,196.151.00%$1,254.130%1.05%$1,430.100.05%1.05%$1,206.850.05%
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1.00%$1,208.112.00%$1,279.211%1.05%$1,445.120.05%1.05%$1,219.520.05%
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1.00%$1,220.193.00%$1,317.592%10.00%$1,589.639%1.05%$1,232.330.05%
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1.00%$1,232.394.00%$1,370.293%1.05%$1,606.320.05%1.05%$1,245.270.05%
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1.00%$1,244.721.00%$1,384.000%1.05%$1,623.190.05%1.05%$1,258.340.05%
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1.00%$1,257.162.00%$1,411.681%1.05%$1,640.230.05%1.05%$1,271.560.05%
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1.00%$1,269.733.00%$1,454.032%1.05%$1,657.450.05%1.05%$1,284.910.05%
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1.00%$1,282.434.00%$1,512.193%1.05%$1,674.850.05%1.05%$1,298.400.05%
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1.00%$1,295.261.00%$1,527.310%1.05%$1,692.440.05%1.05%$1,312.030.05%
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1.00%$1,308.211.50%$1,550.220.5%1.05%$1,710.210.05%1.05%$1,325.810.05%
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1.00%$1,321.292.00%$1,581.221%10.00%$1,881.239%1.05%$1,339.730.05%
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1.00%$1,334.502.50%$1,620.751.5%1.05%$1,900.980.05%1.05%$1,353.800.05%
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mean
(of differences)
0.68%mean
(of differences)
1.28%mean
(of differences)
0.05%
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std deviation
(of differences)
1.07%std deviation
(of differences)
3.14%std deviation
(of differences)
0.00%
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Sharpe Ratio0.6412Sharpe Ratio0.4090Sharpe Ratio#DIV/0!<- Infinite!
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