Sharpe Ratio Samjho — Risk ke Badle Kitna Return?

William Sharpe ne 1966 mein yeh ratio develop kiya tha. Formula hai: Sharpe Ratio = (Portfolio Return minus Risk Free Rate) divided by Portfolio Standard Deviation.

Numerator mein hai excess return, yani jo return risk free investment se upar milta hai. India mein risk free rate generally 91-day T-bill rate ya current RBI repo rate use hoti hai, jo roughly 6 to 7 percent ke aas paas rehti hai.

Denominator mein hai standard deviation, jo portfolio ki volatility ka measure hai. Zyada standard deviation matlab returns mein zyada ups and downs. Sharpe Ratio essentially poochh raha hai: har unit of risk pe kitna excess return mil raha hai.

Sharpe Ratio 1 se kam ka matlab hai ki risk ke hisaab se return kam hai. Generally acceptable nahi maana jaata long term mein. Sharpe Ratio 1 ka matlab hai ki har unit of risk pe 1 unit of excess return mil raha hai. Yeh decent hai.

Sharpe Ratio 2 se upar excellent maana jaata hai. Most hedge funds aur top performing strategies yahi target karte hain. Sharpe Ratio 3 se upar almost impossible to sustain over long periods.

Ek important caveat: Sharpe Ratio assume karta hai ki returns normally distributed hain. Options strategies ya strategies with fat tails mein Sharpe Ratio misleading ho sakta hai. Ek strategy jo regularly small profits kamaati hai aur occasionally catastrophic loss leti hai uska Sharpe Ratio artificially high lag sakta hai.

Sharpe Ratio upside volatility aur downside volatility dono ko equally penalize karta hai. Lekin investors sirf downside volatility se darte hain. Agar koi fund zyada baar bada upar jaata hai toh uski volatility high hogi, lekin yeh achi baat hai. Sharpe Ratio is distinction ko capture nahi karta.

Isliye Sortino Ratio develop hua jo sirf downside deviation use karta hai denominator mein. Yeh better measure hai for asymmetric return distributions.

Information Ratio ek aur alternative hai jo portfolio ke excess return over benchmark ko tracking error se divide karta hai. Yeh specifically measure karta hai ki fund manager kitni efficiently alpha generate kar raha hai relative to the active bets le raha hai.