本文探讨了夏普比率作为衡量投资策略质量指标的作用及其局限性。夏普比率通过计算超额回报与风险之间的比例来评价投资表现，尽管它在评估共同基金等方面有一定价值，但也存在关键限制，并可能导致投资决策失真。
Author: David Harding, Winton Capital Management
The Sharpe ratio is a statistic which aims to sum up the desirability of a risky investment strategy or instrument by dividing the average period return in excess of the risk-free rate by the standard deviation of the return generating process. Devised in 1966 as a measure of performance for mutual funds, it undoubtedly has some value as a measure of strategy "quality" but it also has several crucial limitations. Furthermore, its widespread and often indiscriminate adoption as a quality measure is leading to distortion of proper investment priorities, as investment firms manipulate strategies and data to maximise it.
The Sharpe ratio is a statistic which aims to sum up the desirability of a risky investment strategy or instrument by dividing the average period return in excess of the risk-free rate by the standard deviation of the return generating process. Devised in 1966 as a measure of performance for mutual funds, it undoubtedly has some value as a measure of strategy "quality" but it also has several crucial limitations. Furthermore, its widespread and often indiscriminate adoption as a quality measure is leading to distortion of proper investment priorities, as investment firms manipulate strategies and data to maximise it.
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