. .
Sharpe Ratio

Popularized by the “father” of Modern Portfolio Theory, Bill Sharpe, the Sharpe Ratio is another excellent risk-adjusted metric. Whereas NCAlpha represents the "productivity" of a fund or portfolio, the Sharpe Ratio is the best measure for how much “bang for the buck” is provided for given level of risk versus a benchmark index. The Sharpe Ratio is the best risk-adjusted metric for volatility. It is calculated as:

(Issue's annualized Return - Low Risk Return's annualized Return) / (Issue's annualized Standard Deviation )

Where annualized Standard Deviation equals Monthly Standard Deviation * Sqrt(12).

The Sharpe Ratio demands that market returns come from something other than increasing volatility. Simple arithmetic will show that a 50% increase in returns created by a 50% increase in standard deviation is a loser. This ratio can be used as the basis of a ranking system that measures the fund manager’s performance more than it measures the fund’s performance.

Don't test the retirement waters alone. Put your TSP ship a league ahead by requesting your FREE BACK ISSUE or by SUBSCRIBING at our special reduced rates today!
 
We will send you easy free access details by email to see a recent past issue of the TSP Pilot Advisory on our website.
Don't test the retirement waters alone. Put your TSP ship a league ahead by signing-up at our special reduced rates today!

Great service. I've been sleeping at night now. Thanks guys!

Charles F., Arlington, VA

TSP Pilot has kept me in this market making money when I would have long ago blown myself out. Keep up the good work.

Tom T., Springfield MA

If it had not been for Pilot's advice, my TSP account would have taken a real bath last month.

R. W., Waterloo, IA

...See many more testimonials.