π Quant & Trading
Quant - Sharpe Ratio
The **risk-adjusted return** of a strategy. Measures how much return you get per unit of risk (volatility). The universal benchmark for comparing trading strategies.
2
Minutes
5
Concepts
+15+30
Read+Quiz
1
The Formula
Sharpe = (Mean Return - Risk-Free Rate) / Std Dev of Returns
Annualized Sharpe = Daily Sharpe * sqrt(252) [stocks]
= Daily Sharpe * sqrt(365) [crypto, 24/7 market]