| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9116 |
| 来源ID | Working Paper 9116 |
| Sharpening Sharpe Ratios | |
| William Goetzmann; Jonathan Ingersoll; Matthew I. Spiegel; Ivo Welch | |
| 发表日期 | 2002-08-23 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the maximum expected Sharpe ratio. We derive static rules for achieving the maximum Sharpe ratio with two or more options, as well as a continuum of derivative contracts. The optimal strategy rules for increasing the Sharpe ratio. Our results have implications for performance measurement in any setting in which managers may use derivative contracts. In a performance measurement setting, we suggest that the distribution of high Sharpe ratio managers should be compared with that of the optimal Sharpe ratio strategy. This has particular application in the hedge fund industry where use of derivatives is unconstrained and manager compensation itself induces a non-linear payoff. The shape of the optimal Sharpe ratio leads to further conjectures. Expected returns being held constant, high Sharpe ratio strategies are, by definition, strategies that generate regular modest profits punctunated by occasional crashes. Our evidence suggests that the 'peso problem' may be ubiquitous in any investment management industry that rewards high Sharpe ratio managers. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w9116 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566727 |
| 推荐引用方式 GB/T 7714 | William Goetzmann,Jonathan Ingersoll,Matthew I. Spiegel,et al. Sharpening Sharpe Ratios. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9116.pdf（1321KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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