The Journal of Portfolio Management · 1994 · 2.5K citations · 5 references
BusinessFinanceFinancial ManagementFinancial EconomicsInvestment ManagementQuantitative FinanceAsset AllocationInvestmentMutual Fund ManagementMutual FundsRisk-return AnalysisMutual Fund Performance Evaluation
. Over 25 years ago, in Sharpe [1966], I introduced a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ). While the measure has gained considerable popularity, the name has not. Other authors have termed the original version the Sharpe Index (Radcliff [1990, p. 286] and Haugen [1993, p. 315]), the Sharpe Measure (Bodie, Kane and Marcus [1993, p. 804], Elton and Gruber [1991, p. 652], and Reilly [1989, p.803]), or the Sharpe Ratio (Morningstar [1993, p. 24]). Generalized versions have also appeared under various names (see. for example, BARRA [1992, p. 21] and Capaul, Rowley and Sharpe [1993, p. 33]).
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Modern Portfolio Theory and Investment Analysis.
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