Talk:Sharpe ratio

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This is misleading, as one actually wants mean and stdev of excess returns, which means the subtraction of risk free comparators should be inside the operators.

Good catch, I had never looked that closely into the definition, but I just checked the paper that is the external link and it confirms you are correct. There may be a clearer way to word that than I did, so feel free to fix it if you can. - Taxman ^Talk 21:43, 15 February 2006 (UTC)

Actually it is not a good catch. The current formula is equivalent to the previous formula within the usual assumptions

<V> - C == <V - C>, where V is some value, and C is a constant

--Gene s 05:58, 16 February 2006 (UTC)

The return on benchmark asset is not necessary a constant, i.e. the benchmark asset may or may not be risk free. The catch was good, making the formula more general.