Sharpe ratio
Risk & psychologyReturn per unit of volatility.
In plain terms
Penalises upside volatility equally and flatters strategies that quietly sell tail risk.
Every term is defined twice: once the way a filing would put it, and once the way somebody would explain it to you across a table. The second one is usually the one that sticks.
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Return per unit of volatility.
Penalises upside volatility equally and flatters strategies that quietly sell tail risk.