wilslm

bpdulog Wrote:

>
> In the denominator, you are subtracting the
> standard deviation of the benchmark. So, what you
> are calculating is excess return over excess risk.
> If this exceeds the Sharpe ratio of your
> benchmark, then it's a lucrative strategy to
> follow. Otherwise, it is worthless.

Smicucci:

So excess risk is measured by the unsystematic deviation? On the assumption that excess returns could only be generated when markets are inefficient?