How Sharp is the Sharpe-ratio? 

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1 MAY 2012
 
 

“Alpha to omega, downside to drawdown, appraisal to pain”

 Any discussion on risk-adjusted performance measures must start with the grandfather of all risk measures, the Sharpe Ratio, or Reward to Variability, which divides the excess return of a portfolio in excess of the risk free rate by its standard deviation or variability.