Sharpe Ratio
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Measures the average return generated in excess of the risk-free rate per unit of risk.
Expected return
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Portfolio volatility
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Risk-free rate (3M T-Bill yield)
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Mathematical Components
| Component | Description | Value |
|---|---|---|
| Portfolio Return | Annualized portfolio expected return | -- |
| Risk-Free Rate | 3-Month U.S. Treasury Bill yield (^IRX) | -- |
| Excess Return | Portfolio return generated above the risk-free rate | -- |
| Portfolio Risk | Annualized portfolio standard deviation | -- |