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Understanding the Sharpe Ratio Dynamics by dmalyshev0 is a document available to read on EtoBox.
What is Understanding the Sharpe Ratio Dynamics about?
1) Different rates of return claimed by money managers may actually represent equivalent levels of skill if different amounts of leverage/borrowing are used. 2) For example, a manager achieving a 9% return with 15% volatility could boost returns to 13% by borrowing more money, but volatility would also increase to 22.5%. 3) All points representing various return-volatility combinations through leverage actually lie on a single line related to the manager
- Author
- dmalyshev0
- Language
- EN