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Economic Calendar - Economic Indicators. Traders Laboratory. Finance-Stocks-Options. Option Trading Strategies | Options Trading Strategies. EclipseTrader | Download EclipseTrader software for free. JFinance | Download JFinance software for free. EclipseQuote | Download EclipseQuote software for free. Sharpe Ratio and Sortino Ratio for a Portfolio in SQL. Introduction to the Sharpe Ratio The Sharpe Ratio is commonly used by hedge funds, mutual funds, managed futures funds, and other money managers as a standardized way of reporting the level of risk the fund is using to achieve its returns.
It can also be thought of as 'reward per unit of risk' or 'reward-to-volatility-ratio. William Sharpe, along with Harry Markowitz and Merton Miller, all shared a Nobel Prize in Economics for introducing and extending the Capital Asset Pricing Model (CAPM). This model distinguishes between systematic (market-wide) and specific risk (asset-specific). William Sharpe's contribution was what is now called the Sharpe Ratio, a metric that is now used for determining the optimum balance of risk and reward for a portfolio of assets (cash, stocks, funds, etc).
To find a risk-efficient portfolio, fund managers often find the combination of assets that has the highest Sharpe Ratio. Why Use SQL? The Algorithm Excess Return CREATE FUNCTION [dbo]. CREATE FUNCTION [dbo]. Merchant of Venice. Market Analysis System | Download Market Analysis System software for free. Technical Analysis Library - Documentation.
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